Please note the section on IRD benchmark data analysis has been discontinued as the USD LIBOR panel ceased on June 30, 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 17% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 42% and 6%, respectively
- FRA traded notional and trade count both increased by 9%
- OIS traded notional and trade count increased by 58% and 50%, respectively
- 77% of total traded notional was cleared vs. 75% last year
- 52% of total traded notional was executed on SEFs vs. 58% 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 29% and 17%, respectively
- CDX HY traded notional and trade count decreased by 23% and 14%, respectively
- CDX IG traded notional and trade count decreased by 25% and 15%, respectively
- iTraxx Europe traded notional and trade count decreased by 33% and 14%, respectively
- 86% of total traded notional was cleared vs. 83% last year
- 85% of total traded notional was executed on SEFs vs. 82% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulations
YTD Ending July 7, 2023
- Total security-based credit derivatives traded notional totaled $389.9 billion, while trade count totaled 125.1 thousand
- Corporate single-name CDS traded notional totaled $297.7 billion, and trade count was 96.9 thousand
- Sovereign single-name CDS traded notional totaled $75.2 billion, and trade count was 19.0 thousand
- 50% of total traded notional was cleared
