Check out the latest SwapsInfo Full Year 2022 and the Fourth Quarter of 2022 Review.

 

Interest Rate Derivatives

2023 YTD vs. 2022 YTD

  • Total IRD traded notional and trade count increased by 4% and 17%, respectively
    • Fixed-for-floating IRS traded notional decreased by 46%, while trade count increased by 1%
    • FRA traded notional and trade count increased by 25% and 31%, respectively
    • OIS traded notional and trade count increased by 51% and 64%, respectively
  • 78% of total traded notional was cleared vs. 73% last year
  • 55% of total traded notional was executed on SEFs vs. 58% last year

 

2023 Current Week vs. 2022 Current Week

 

Interest Rate Derivatives: Benchmark Data

YTD Ending February 3, 2023

  • SOFR traded notional totaled $7.2 trillion, including $834.7 billion of basis swaps. Trade count totaled 71.5 thousand, including 5.6 thousand basis swaps
  • SONIA traded notional totaled $3.5 trillion, including $89.9 billion of basis swaps. Trade count totaled 22.1 thousand, including 636 basis swaps
  • SARON traded notional totaled $64.2 billion, including $11.0 billion of basis swaps. Trade count totaled 1.8 thousand, including 126 basis swaps
  • TONA traded notional totaled $746.3 billion, including $129.0 billion of basis swaps. Trade count totaled 9.6 thousand, including 1.3 thousand basis swaps
  • €STR traded notional totaled $4.6 trillion, including $176.1 billion of basis swaps. Trade count totaled 9.3 thousand, including 1.4 thousand basis swaps

Click here to view RFR data by product and tenor and RFR historical data

 

Credit Derivatives Reported under CFTC Regulation

2023 YTD vs. 2022 YTD

  • Total credit derivatives traded notional and trade count decreased by 37% and 24%, respectively
    • CDX HY traded notional and trade count decreased by 37% and 27%, respectively
    • CDX IG traded notional and trade count decreased by 37% and 21%, respectively
    • iTraxx Europe traded notional and trade count decreased by 37% and 16%, respectively
  • 82% of total traded notional was cleared vs. 81% last year
  • 79% of total traded notional was executed on SEFs vs. 81% last year

 

2023 Current Week vs. 2022 Current Week

 

Credit Derivatives Reported under SEC Regulation

YTD Ending February 3, 2023

  • Credit derivatives traded notional totaled $58.1 billion, while trade count totaled 19.3 thousand
    • Corporate single-name CDS traded notional totaled $43.6 billion, and trade count was 14.7 thousand
    • Sovereign single-name CDS traded notional totaled $10.7 billion, and trade count was 2.5 thousand
  • 49% of total traded notional was cleared