2023 YTD vs. 2022 YTD

  • Total IRD traded notional and trade count increased by 18% and 21%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 42% and 4%, respectively
    • FRA traded notional and trade count increased by 17% and 21%, respectively
    • OIS traded notional and trade count increased by 61% and 55%, respectively
  • 78% of total traded notional was cleared vs. 75% last year
  • 53% of total traded notional was executed on SEFs vs. 59% last year

 

2023 Current Week vs. 2022 Current Week

 

Interest Rate Derivatives: Benchmark Data

YTD Ending May 26, 2023

  • SOFR traded notional totaled $33.9 trillion, including $3.6 trillion of basis swaps. Trade count totaled 367.8 thousand, including 26.2 thousand basis swaps
  • SONIA traded notional totaled $13.7 trillion, including $393.6 billion of basis swaps. Trade count totaled 70.0 thousand, including 3.4 thousand basis swaps
  • SARON traded notional totaled $459.1 billion, including $49.1 billion of basis swaps. Trade count totaled 9.4 thousand, including 477 basis swaps
  • TONA traded notional totaled $2.5 trillion, including $561.4 billion of basis swaps. Trade count totaled 33.0 thousand, including 5.3 thousand basis swaps
  • €STR traded notional totaled $22.4 trillion, including $895.9 billion of basis swaps. Trade count totaled 48.1 thousand, including 6.0 thousand basis swaps

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

 

Credit Derivatives Reported under CFTC Regulations

2023 YTD vs. 2022 YTD

  • Total index credit derivatives traded notional and trade count decreased by 26% and 14%, respectively
    • CDX HY traded notional and trade count decreased by 19% and 11%, respectively
    • CDX IG traded notional and trade count decreased by 21% and 10%, respectively
    • iTraxx Europe traded notional and trade count decreased by 32% and 14%, respectively
  • 87% of total traded notional was cleared vs. 83% last year
  • 85% of total traded notional was executed on SEFs vs. 82% last year

 

2023 Current Week vs. 2022 Current Week

 

Credit Derivatives Reported under SEC Regulations

YTD Ending May 26, 2023

  • Total security-based credit derivatives traded notional totaled $304.3 billion, while trade count totaled 96.0 thousand
    • Corporate single-name CDS traded notional totaled $231.9 billion, and trade count was 73.8 thousand
    • Sovereign single-name CDS traded notional totaled $59.8 billion, and trade count was 15.0 thousand
  • 51% of total traded notional was cleared