Interest Rate Derivatives

Week Ending December 31, 2021 vs. Week Ending January 1, 2021.

  • Total IRD traded notional and trade count increased by 69% and 56%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 12% and 11%, respectively
    • FRAs traded notional and trade count decreased by 46% and 13%, respectively
    • OIS traded notional and trade count increased by 244% and 719%, respectively

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional and trade count increased by 1% and 19%, respectively
    • 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 5%, while trade count increased by 134%
  • 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 31, 2021

  • SOFR traded notional totaled $253.1 billion, including $38.7 billion of basis swaps. Trade count totaled 3.0 thousand, including 286 basis swaps
  • SONIA traded notional totaled $57.7 billion, including $3.7 billion of basis swaps. Trade count totaled 635, including 22 basis swaps
  • SARON traded notional totaled $2.1 billion, including $0.2 billion of basis swaps. Trade count totaled 62, including 2 basis swaps
  • TONA traded notional totaled $28.1 billion, including $3.2 billion of basis swaps. Trade count totaled 433, including 48 basis swaps
  • €STR traded notional totaled $81.2 billion, including $5.6 billion of basis swaps. Trade count totaled 300, including 63 basis swaps

YTD Ending December 31, 2021

  • SOFR traded notional totaled $9.4 trillion, including $2.7 trillion of basis swaps. Trade count totaled 86.9 thousand, including 15.9 thousand basis swaps
  • SONIA traded notional totaled $20.5 trillion, including $350.1 billion of basis swaps. Trade count totaled 98.7 thousand, including 2.6 thousand basis swaps
  • SARON traded notional totaled $246.1 billion, including $17.7 billion of basis swaps. Trade count totaled 4.6 thousand, including 167 basis swaps
  • TONA traded notional totaled $995.4 billion, including $194.1 billion of basis swaps. Trade count totaled 11.9 thousand, including 1.9 thousand basis swaps
  • €STR traded notional totaled $3.0 trillion, including $290.2 billion of basis swaps. Trade count totaled 11.0 thousand, including 2.0 thousand basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

Week Ending December 31, 2021 vs. 2020 Week Ending January 1, 2021.
  • Total credit derivatives traded notional and trade count increased by 57% and 33%, respectively
    • CDX HY traded notional and trade count increased by 96% and 64%, respectively
    • CDX IG traded notional and trade count increased by 71% and 38%, respectively
    • iTraxx Europe traded notional and trade count increased by 67% and 57%, 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 17%, respectively
    • CDX IG traded notional and trade count decreased by 17% 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