Check out the latest ISDA-Clarus RFR Adoption Indicator: December 2022.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional decreased by 4%, while trade count increased by 2%
- Fixed-for-floating IRS traded notional and trade count decreased by 50% and 4%, respectively
- FRA traded notional and trade count increased by 15% and 30%, respectively
- OIS traded notional and trade count increased by 73% and 60%, respectively
- 79% of total traded notional was cleared vs. 69% last year
- 59% of total traded notional was executed on SEFs, flat compared with last year
2023 Current Week vs. 2022 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending January 13, 2023
- SOFR traded notional totaled $3.0 trillion, including $373.3 billion of basis swaps. Trade count totaled 29.3 thousand, including 2.4 thousand basis swaps
- SONIA traded notional totaled $1.2 trillion, including $45.0 billion of basis swaps. Trade count totaled 8.1 thousand, including 323 basis swaps
- SARON traded notional totaled $33.4 billion, including $5.6 billion of basis swaps. Trade count totaled 780, including 63 basis swaps
- TONA traded notional totaled $333.6 billion, including $47.1 billion of basis swaps. Trade count totaled 3.4 thousand, including 447 basis swaps
- €STR traded notional totaled $1.7 trillion, including $78.9 billion of basis swaps. Trade count totaled 3.9 thousand, including 622 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 14% and 1%, respectively
- CDX HY traded notional and trade count decreased by 15% and 1%, respectively
- CDX IG traded notional decreased by 14%, while trade count increased by 7%
- iTraxx Europe traded notional decreased by 10%, while trade count increased by 15%
- 81% of total traded notional was cleared vs. 77% last year
- 79% 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 13, 2023
- Credit derivatives traded notional totaled $22.8 billion, while trade count totaled 7.9 thousand
- Corporate single-name CDS traded notional totaled $17.0 billion, and trade count was 6.1 thousand
- Sovereign single-name CDS traded notional totaled $4.7 billion, and trade count was 1.2 thousand
- 53% of total traded notional was cleared
