Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 89% and 80%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 97% and 41%, respectively
    • FRAs traded notional and trade count decreased by 44% and 33%, respectively
    • OIS traded notional and trade count increased by 150% and 539%, respectively

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 0.3%, while trade count increased by 19%
    • Fixed-for-floating IRS traded notional and trade count increased by 51% and 20%, respectively
    • FRAs traded notional and trade count decreased by 35% and 24%, respectively
    • OIS traded notional decreased by 6%, while trade count increased by 132%
  • 76% of total traded notional was cleared vs. 87% last year
  • 66% of total traded notional was executed on SEFs vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending December 24, 2021

  • SOFR traded notional totaled $318.6 billion, including $71.4 billion of basis swaps. Trade count totaled 4.1 thousand, including 467 basis swaps
  • SONIA traded notional totaled $166.1 billion, including $6.8 billion of basis swaps. Trade count totaled 1.6 thousand, including 74 basis swaps
  • SARON traded notional totaled $4.6 billion, including $1.4 billion of basis swaps. Trade count totaled 113, including 11 basis swaps
  • TONA traded notional totaled $25.1 billion, including $5.2 billion of basis swaps. Trade count totaled 359, including 41 basis swaps
  • €STR traded notional totaled $74.6 billion, including $13.7 billion of basis swaps. Trade count totaled 399, including 104 basis swaps

YTD Ending December 24, 2021

  • SOFR traded notional totaled $9.1 trillion, including $2.6 trillion of basis swaps. Trade count totaled 83.9 thousand, including 15.6 thousand basis swaps
  • SONIA traded notional totaled $20.5 trillion, including $346.4 billion of basis swaps. Trade count totaled 98.1 thousand, including 2.5 thousand basis swaps
  • SARON traded notional totaled $244.0 billion, including $17.5 billion of basis swaps. Trade count totaled 4.6 thousand, including 165 basis swaps
  • TONA traded notional totaled $967.3 billion, including $191.0 billion of basis swaps. Trade count totaled 11.5 thousand, including 1.8 thousand basis swaps
  • €STR traded notional totaled $2.9 trillion, including $284.6 billion of basis swaps. Trade count totaled 10.7 thousand, including 1.9 thousand basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 Current Week vs. 2020 Current Week
  • Total credit derivatives traded notional and trade count increased by 35% and 32%, respectively
    • CDX HY traded notional and trade count increased by 45% and 22%, respectively
    • CDX IG traded notional and trade count increased by 28% and 16%, respectively
    • iTraxx Europe traded notional and trade count increased by 55% and 74%, respectively

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 2% and 12%, respectively
    • CDX HY traded notional and trade count decreased by 14% and 18%, respectively
    • CDX IG traded notional and trade count decreased by 18% and 24%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 20%, respectively
  • 81% of total traded notional was cleared vs. 79% last year
  • 80% of total traded notional was executed on SEFs vs. 77% last year