Check out the latest research papers ISDA Margin Survey Year-end 2022 and ISDA-Clarus RFR Adoption Indicator: April 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 18% and 22%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 41% and 3%, respectively
- FRA traded notional and trade count increased by 20% and 25%, respectively
- OIS traded notional and trade count increased by 61% and 57%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 54% of total traded notional was executed on SEFs vs. 59% last year
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/IRD-YTD-5.19.2023.png)
2023 Current Week vs. 2022 Current Week
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/IRD-Week-5.19.2023.png)
Interest Rate Derivatives: Benchmark Data
YTD Ending May 19, 2023
- SOFR traded notional totaled $32.4 trillion, including $3.4 trillion of basis swaps. Trade count totaled 351.9 thousand, including 24.9 thousand basis swaps
- SONIA traded notional totaled $12.4 trillion, including $370.6 billion of basis swaps. Trade count totaled 65.8 thousand, including 3.2 thousand basis swaps
- SARON traded notional totaled $429.5 billion, including $45.8 billion of basis swaps. Trade count totaled 8.9 thousand, including 455 basis swaps
- TONA traded notional totaled $2.4 trillion, including $532.1 billion of basis swaps. Trade count totaled 31.7 thousand, including 5.1 thousand basis swaps
- €STR traded notional totaled $21.7 trillion, including $850.4 billion of basis swaps. Trade count totaled 46.3 thousand, including 5.7 thousand basis swaps
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/Benchmark-5.19.2023.png)
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 index credit derivatives traded notional and trade count decreased by 25% and 13%, respectively
- CDX HY traded notional and trade count decreased by 19% and 10%, respectively
- CDX IG traded notional and trade count decreased by 20% and 9%, respectively
- iTraxx Europe traded notional and trade count decreased by 31% and 13%, respectively
- 87% of total traded notional was cleared vs. 82% last year
- 85% of total traded notional was executed on SEFs vs. 81% last year
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/CDS-YTD-5.19.2023.png)
2023 Current Week vs. 2022 Current Week
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/CDS-Week-5.19.2023.png)
Credit Derivatives Reported under SEC Regulation
YTD Ending May 19, 2023
- Total security-based credit derivatives traded notional totaled $293.5 billion, while trade count totaled 92.5 thousand
- Corporate single-name CDS traded notional totaled $223.7 billion, and trade count was 71.0 thousand
- Sovereign single-name CDS traded notional totaled $57.9 billion, and trade count was 14.6 thousand
- 51% of total traded notional was cleared
![](https://cdn.analysis.swapsinfo.org/core/uploads/2023/05/SEC-Credit-5.19.2023.png)