Check out the latest ISDA-Clarus RFR Adoption Indicator: January 2023 and SwapsInfo Full Year 2022 and the Fourth Quarter of 2022 Review.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 5% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 46% and 1%, respectively
- FRA traded notional and trade count increased by 21% and 26%, respectively
- OIS traded notional and trade count increased by 51% and 62%, respectively
- 78% of total traded notional was cleared vs. 73% last year
- 54% 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 February 10, 2023
- SOFR traded notional totaled $9.0 trillion, including $964.9 billion of basis swaps. Trade count totaled 90.4 thousand, including 6.7 thousand basis swaps
- SONIA traded notional totaled $4.2 trillion, including $109.3 billion of basis swaps. Trade count totaled 25.6 thousand, including 821 basis swaps
- SARON traded notional totaled $77.2 billion, including $12.2 billion of basis swaps. Trade count totaled 2.1 thousand, including 137 basis swaps
- TONA traded notional totaled $867.6 billion, including $145.4 billion of basis swaps. Trade count totaled 11.3 thousand, including 1.6 thousand basis swaps
- €STR traded notional totaled $5.4 trillion, including $214.7 billion of basis swaps. Trade count totaled 11.2 thousand, including 1.7 thousand 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 38% and 26%, respectively
- CDX HY traded notional and trade count decreased by 37% and 28%, respectively
- CDX IG traded notional and trade count decreased by 37% and 21%, respectively
- iTraxx Europe traded notional and trade count decreased by 40% and 20%, respectively
- 83% of total traded notional was cleared vs. 81% last year
- 80% of total traded notional was executed on SEFs vs. 81% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending February 10, 2023
- Credit derivatives traded notional totaled $73.3 billion, while trade count totaled 24.7 thousand
- Corporate single-name CDS traded notional totaled $56.2 billion, and trade count was 19.2 thousand
- Sovereign single-name CDS traded notional totaled $12.7 billion, and trade count was 3.0 thousand
- 50% of total traded notional was cleared
