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 16% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 42% and 6%, respectively
- FRA traded notional and trade count both increased by 10%
- OIS traded notional and trade count increased by 58% and 50%, respectively
- 77% of total traded notional was cleared vs. 75% last year
- 52% 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 June 30, 2023
- SOFR traded notional totaled $41.4 trillion, including $4.6 trillion of basis swaps. Trade count totaled 447.3 thousand, including 32.6 thousand basis swaps
- SONIA traded notional totaled $17.1 trillion, including $493.3. billion of basis swaps. Trade count totaled 86.8 thousand, including 4.3 thousand basis swaps
- SARON traded notional totaled $614.8 billion, including $66.0 billion of basis swaps. Trade count totaled 12.1 thousand, including 618 basis swaps
- TONA traded notional totaled $3.1 trillion, including $696.1 billion of basis swaps. Trade count totaled 39.8 thousand, including 6.5 thousand basis swaps
- €STR traded notional totaled $27.0 trillion, including $1.1 trillion of basis swaps. Trade count totaled 59.4 thousand, including 7.3 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 29% and 17%, respectively
- CDX HY traded notional and trade count decreased by 23% 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 30, 2023
- Total security-based credit derivatives traded notional totaled $380.0 billion, while trade count totaled 122.0 thousand
- Corporate single-name CDS traded notional totaled $289.9 billion, and trade count was 94.4 thousand
- Sovereign single-name CDS traded notional totaled $73.6 billion, and trade count was 18.6 thousand
- 50% of total traded notional was cleared
