Check out the latest Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2022 and Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2021.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional decreased by 4%, while trade count increased by 5%
    • Fixed-for-floating IRS traded notional and trade count decreased by 29% and 24%, respectively
    • FRA traded notional and trade count decreased by 52% and 41%, respectively
    • OIS traded notional and trade count increased by 126% and 246%, respectively
  • 76% of total traded notional was cleared vs. 80% last year
  • 61% of total traded notional was executed on SEFs vs. 71% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 28% and 16%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 1% and 17%, respectively
    • FRA traded notional and trade count decreased by 49% and 43%, respectively
    • OIS traded notional and trade count increased by 259% and 361%, respectively
  • 74% of total traded notional was cleared vs. 76% last year
  • 58% of total traded notional was executed on SEFs vs. 70% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 24, 2022

  • SOFR traded notional totaled $885.5 billion, including $123.1 billion of basis swaps. Trade count totaled 10.4 thousand, including 927 basis swaps
  • SONIA traded notional totaled $547.1 billion, including $9.1 billion of basis swaps. Trade count totaled 3.0 thousand, including 95 basis swaps
  • SARON traded notional totaled $20.0 billion, including $0.5 billion of basis swaps. Trade count totaled 419, including 9 basis swaps
  • TONA traded notional totaled $65.4 billion, including $14.3 billion of basis swaps. Trade count totaled 1.1 thousand, including 198 basis swaps
  • €STR traded notional totaled $517.6 billion, including $47.0 billion of basis swaps. Trade count totaled 1.8 thousand, including 228 basis swaps

YTD Ending June 24, 2022

  • SOFR traded notional totaled $25.0 trillion, including $3.6 trillion of basis swaps. Trade count totaled 280.8 thousand, including 26.7 thousand basis swaps
  • SONIA traded notional totaled $11.5 trillion, including $280.0 billion of basis swaps. Trade count totaled 66.0 thousand, including 2.5 thousand basis swaps
  • SARON traded notional totaled $427.3 billion, including $32.8 billion of basis swaps. Trade count totaled 8.3 thousand, including 338 basis swaps
  • TONA traded notional totaled $1.6 trillion, including $362.5 billion of basis swaps. Trade count totaled 23.6 thousand, including 4.3 thousand basis swaps
  • €STR traded notional totaled $16.6 trillion, including $813.1 billion of basis swaps. Trade count totaled 43.3 thousand, including 6.5 thousand basis swaps


Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2022 Current Week vs. 2021 Current Week
  • Total credit derivatives traded notional and trade count increased by 73% and 90%, respectively
    • CDX HY traded notional and trade count increased by 128% and 107%, respectively
    • CDX IG traded notional and trade count increased by 60% and 66%, respectively
    • iTraxx Europe traded notional and trade count increased by 102% and 119%, respectively
  • 87% of total traded notional was cleared vs. 81% last year
  • 87% of total traded notional was executed on SEFs vs. 79% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 77% and 78%, respectively
    • CDX HY traded notional and trade count increased by 80% and 84%, respectively
    • CDX IG traded notional and trade count increased by 70% and 69%, respectively
    • iTraxx Europe traded notional and trade count increased by 100% and 101%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 82% of total traded notional was executed on SEFs vs. 80% last year