Check out the latest research papers ISDA Margin Survey Year-end 2022 and ISDA-Clarus RFR Adoption Indicator: April 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 18% and 22%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 41% and 3%, respectively
- FRA traded notional and trade count increased by 20% and 25%, respectively
- OIS traded notional and trade count increased by 61% and 57%, 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
Interest Rate Derivatives: Benchmark Data
YTD Ending May 19, 2023
- SOFR traded notional totaled $32.4 trillion, including $3.4 trillion of basis swaps. Trade count totaled 351.9 thousand, including 24.9 thousand basis swaps
- SONIA traded notional totaled $12.4 trillion, including $370.6 billion of basis swaps. Trade count totaled 65.8 thousand, including 3.2 thousand basis swaps
- SARON traded notional totaled $429.5 billion, including $45.8 billion of basis swaps. Trade count totaled 8.9 thousand, including 455 basis swaps
- TONA traded notional totaled $2.4 trillion, including $532.1 billion of basis swaps. Trade count totaled 31.7 thousand, including 5.1 thousand basis swaps
- €STR traded notional totaled $21.7 trillion, including $850.4 billion of basis swaps. Trade count totaled 46.3 thousand, including 5.7 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 index credit derivatives traded notional and trade count decreased by 25% and 13%, respectively
- CDX HY traded notional and trade count decreased by 19% and 10%, respectively
- CDX IG traded notional and trade count decreased by 20% and 9%, respectively
- iTraxx Europe traded notional and trade count decreased by 31% and 13%, respectively
- 87% of total traded notional was cleared vs. 82% last year
- 85% 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 May 19, 2023
- Total security-based credit derivatives traded notional totaled $293.5 billion, while trade count totaled 92.5 thousand
- Corporate single-name CDS traded notional totaled $223.7 billion, and trade count was 71.0 thousand
- Sovereign single-name CDS traded notional totaled $57.9 billion, and trade count was 14.6 thousand
- 51% of total traded notional was cleared
