Check out the latest research papers SwapsInfo First Half of 2023 and the Second Quarter of 2023 Review: Summary and Transition to RFRs Review: First Half of 2023 and the Second Quarter of 2023.
Please note the section on IRD benchmark data analysis has been discontinued as the USD LIBOR panel ceased on June 30, 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 15% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 43% and 7%, respectively
- FRA traded notional and trade count decreased by 1% and 4%, respectively
- OIS traded notional and trade count increased by 57% and 48%, 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
Credit Derivatives Reported under CFTC Regulations
2023 YTD vs. 2022 YTD
- Total index credit derivatives traded notional and trade count decreased by 29% and 18%, respectively
- CDX HY traded notional and trade count decreased by 24% and 15%, respectively
- CDX IG traded notional and trade count decreased by 25% and 15%, respectively
- iTraxx Europe traded notional and trade count decreased by 31% and 8%, respectively
- 86% 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 August 4, 2023
- Total security-based credit derivatives traded notional totaled $428.9 billion, while trade count totaled 138.0 thousand
- Corporate single-name CDS traded notional totaled $327.1 billion, and trade count was 106.6 thousand
- Sovereign single-name CDS traded notional totaled $80.7 billion, and trade count was 20.4 thousand
- 50% of total traded notional was cleared
