Check out the latest SwapsInfo Full Year 2022 and the Fourth Quarter of 2022 Review: Summary and Transition to RFRs Review: Full Year 2022 and the Fourth Quarter of 2022.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional decreased by 3%, while trade count increased by 10%
- Fixed-for-floating IRS traded notional and trade count decreased by 47% and 2%, respectively
- FRA traded notional and trade count increased by 8% and 19%, respectively
- OIS traded notional and trade count increased by 62% and 68%, respectively
- 78% of total traded notional was cleared vs. 72% last year
- 57% of total traded notional was executed on SEFs vs. 60% last year
2023 Current Week vs. 2022 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending January 20, 2023
- SOFR traded notional totaled $4.3 trillion, including $511.0 billion of basis swaps. Trade count totaled 42.9 thousand, including 3.5 thousand basis swaps
- SONIA traded notional totaled $1.8 trillion, including $61.0 billion of basis swaps. Trade count totaled 13.3 thousand, including 426 basis swaps
- SARON traded notional totaled $45.3 billion, including $6.7 billion of basis swaps. Trade count totaled 1.1 thousand, including 77 basis swaps
- TONA traded notional totaled $537.3 billion, including $76.0 billion of basis swaps. Trade count totaled 6.4 thousand, including 757 basis swaps
- €STR traded notional totaled $2.4 trillion, including $107.6 billion of basis swaps. Trade count totaled 5.6 thousand, including 897 basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulation
2023 YTD vs. 2022 YTD
- Total credit derivatives traded notional and trade count decreased by 23% and 7%, respectively
- CDX HY traded notional and trade count decreased by 20% and 7%, respectively
- CDX IG traded notional and trade count decreased by 23% and 3%, respectively
- iTraxx Europe traded notional decreased by 21%, while trade count increased by 5%
- 82% of total traded notional was cleared vs. 78% last year
- 80% of total traded notional was executed on SEFs vs. 78% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending January 20, 2023
- Credit derivatives traded notional totaled $33.1 billion, while trade count totaled 10.9 thousand
- Corporate single-name CDS traded notional totaled $25.0 billion, and trade count was 8.5 thousand
- Sovereign single-name CDS traded notional totaled $6.6 billion, and trade count was 1.6 thousand
- 50% of total traded notional was cleared