Check out the latest research papers ISDA-Clarus RFR Adoption Indicator: May 2023 and Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2022.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 17% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 42% and 6%, respectively
- FRA traded notional and trade count increased by 13% and 14%, respectively
- OIS traded notional and trade count increased by 57% and 49%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 52% 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 June 23, 2023
- SOFR traded notional totaled $40.0 trillion, including $4.4 trillion of basis swaps. Trade count totaled 428.6 thousand, including 31.4 thousand basis swaps
- SONIA traded notional totaled $16.6 trillion, including $478.6 billion of basis swaps. Trade count totaled 82.6 thousand, including 4.1 thousand basis swaps
- SARON traded notional totaled $578.7 billion, including $63.0 billion of basis swaps. Trade count totaled 11.5 thousand, including 598 basis swaps
- TONA traded notional totaled $3.0 trillion, including $670.4 billion of basis swaps. Trade count totaled 38.6 thousand, including 6.2 thousand basis swaps
- €STR traded notional totaled $26.1 trillion, including $1.1 trillion of basis swaps. Trade count totaled 57.1 thousand, including 7.0 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 28% and 17%, respectively
- CDX HY traded notional and trade count decreased by 22% and 14%, respectively
- CDX IG traded notional and trade count decreased by 25% and 14%, respectively
- iTraxx Europe traded notional and trade count decreased by 34% and 16%, 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 June 23, 2023
- Total security-based credit derivatives traded notional totaled $369.1 billion, while trade count totaled 118.0 thousand
- Corporate single-name CDS traded notional totaled $282.0 billion, and trade count was 91.5 thousand
- Sovereign single-name CDS traded notional totaled $72.0 billion, and trade count was 18.2 thousand
- 50% of total traded notional was cleared
