Check out the latest research papers Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2023 and ISDA-Clarus RFR Adoption Indicator: November 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 11% and 10%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 43% and 11%, respectively
- FRA traded notional and trade count decreased by 23% and 30%, respectively
- OIS traded notional and trade count increased by 53% and 42%, 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
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 24% and 15%, respectively
- CDX HY traded notional and trade count decreased by 19% and 12%, respectively
- CDX IG traded notional and trade count decreased by 21% and 13%, respectively
- iTraxx Europe traded notional and trade count decreased by 29% and 16%, respectively
- 87% of total traded notional was cleared vs. 84% last year
- 85% of total traded notional was executed on SEFs vs. 83% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulations
YTD data has been updated to include ICE Trade Vault SBSDR data. Previously published reports only included data reported to DTCC SBSDR.
YTD Ending December 8, 2023
- Total security-based credit derivatives traded notional was $732.2 billion, while trade count totaled 238.6 thousand
- Corporate single-name CDS traded notional totaled $557.1 billion, and trade count was 185.8 thousand
- Sovereign single-name CDS traded notional totaled $140.1 billion, and trade count was 35.5 thousand
- 50% of total traded notional was cleared
