Check out the latest ISDA-Clarus RFR Adoption Indicator: March 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 21% and 25%, respectively
- Fixed-for-floating IRS traded notional decreased by 39%, while trade count increased by 3%
- FRA traded notional and trade count increased by 34% and 41%, respectively
- OIS traded notional and trade count increased by 66% and 61%, respectively
- 78% of total traded notional was cleared vs. 74% last year
- 54% of total traded notional was executed on SEFs vs. 58% last year
2023 Current Week vs. 2022 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending April 14, 2023
- SOFR traded notional totaled $24.7 trillion, including $2.5 trillion of basis swaps. Trade count totaled 262.2 thousand, including 17.6 thousand basis swaps
- SONIA traded notional totaled $9.8 trillion, including $270.6 billion of basis swaps. Trade count totaled 53.6 thousand, including 2.3 thousand basis swaps
- SARON traded notional totaled $321.4 billion, including $29.0 billion of basis swaps. Trade count totaled 6.8 thousand, including 299 basis swaps
- TONA traded notional totaled $2.0 trillion, including $436.4 billion of basis swaps. Trade count totaled 25.6 thousand, including 4.2 thousand basis swaps
- €STR traded notional totaled $16.5 trillion, including $610.8 billion of basis swaps. Trade count totaled 35.3 thousand, including 4.1 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 credit derivatives traded notional and trade count decreased by 20% and 8%, respectively
- CDX HY traded notional and trade count decreased by 12% and 6%, respectively
- CDX IG traded notional and trade count decreased by 15% and 2%, respectively
- iTraxx Europe traded notional and trade count decreased by 24% and 5%, 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 Regulation
YTD Ending April 14, 2023
- Credit derivatives traded notional totaled $222.7 billion, while trade count totaled 69.1 thousand
- Corporate single-name CDS traded notional totaled $166.9 billion, and trade count was 52.3 thousand
- Sovereign single-name CDS traded notional totaled $45.4 billion, and trade count was 11.3 thousand
- 51% of total traded notional was cleared
