Check out the latest research papers ISDA-Clarus RFR Adoption Indicator: May 2023 and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 17% and 19%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 42% and 5%, respectively
- FRA traded notional and trade count increased by 13% and 15%, respectively
- OIS traded notional and trade count increased by 60% and 53%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 53% 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 June 9, 2023
- SOFR traded notional totaled $36.7 trillion, including $4.0 trillion of basis swaps. Trade count totaled 398.3 thousand, including 29.1 thousand basis swaps
- SONIA traded notional totaled $14.7 trillion, including $438.0 billion of basis swaps. Trade count totaled 75.1 thousand, including 3.7 thousand basis swaps
- SARON traded notional totaled $525.3 billion, including $56.9 billion of basis swaps. Trade count totaled 10.4 thousand, including 530 basis swaps
- TONA traded notional totaled $2.7 trillion, including $609.0 billion of basis swaps. Trade count totaled 36.0 thousand, including 5.8 thousand basis swaps
- €STR traded notional totaled $24.0 trillion, including $979.8 billion of basis swaps. Trade count totaled 52.5 thousand, including 6.4 thousand basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulations
2023 YTD vs. 2022 YTD
- Total index credit derivatives traded notional and trade count decreased by 26% and 14%, respectively
- CDX HY traded notional and trade count decreased by 19% and 11%, respectively
- CDX IG traded notional and trade count decreased by 22% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 32% and 14%, respectively
- 87% 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 June 9, 2023
- Total security-based credit derivatives traded notional totaled $340.4 billion, while trade count totaled 109.1 thousand
- Corporate single-name CDS traded notional totaled $261.0 billion, and trade count was 84.7 thousand
- Sovereign single-name CDS traded notional totaled $65.4 billion, and trade count was 16.5 thousand
- 50% of total traded notional was cleared
