Check out the latest research papers Single-name CDS Market Update and ISDA Margin Survey Year-end 2022.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 18% and 21%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 41% and 4%, respectively
- FRA traded notional and trade count increased by 16% and 19%, respectively
- OIS traded notional and trade count increased by 62% and 55%, 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 2, 2023
- SOFR traded notional totaled $35.1 trillion, including $3.7 trillion of basis swaps. Trade count totaled 381.4 thousand, including 27.1 thousand basis swaps
- SONIA traded notional totaled $14.1 trillion, including $411.9 billion of basis swaps. Trade count totaled 72.5 thousand, including 3.6 thousand basis swaps
- SARON traded notional totaled $478.0 billion, including $52.1 billion of basis swaps. Trade count totaled 9.8 thousand, including 501 basis swaps
- TONA traded notional totaled $2.6 trillion, including $591.9 billion of basis swaps. Trade count totaled 34.6 thousand, including 5.6 thousand basis swaps
- €STR traded notional totaled $23.2 trillion, including $931.8 billion of basis swaps. Trade count totaled 50.2 thousand, including 6.2 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 21% and 10%, respectively
- iTraxx Europe traded notional and trade count decreased by 31% and 13%, 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 2, 2023
- Total security-based credit derivatives traded notional totaled $316.7 billion, while trade count totaled 100.0 thousand
- Corporate single-name CDS traded notional totaled $240.6 billion, and trade count was 76.6 thousand
- Sovereign single-name CDS traded notional totaled $62.6 billion, and trade count was 15.8 thousand
- 51% of total traded notional was cleared
