Check out the latest Demystifying Derivatives Trading in the EU and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2022.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 20% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 23% and 28%, respectively
    • FRA traded notional and trade count decreased by 19% and 22%, respectively
    • OIS traded notional and trade count increased by 164% and 270%, respectively
  • 74% of total traded notional was cleared, flat compared with last year
  • 58% of total traded notional was executed on SEFs vs. 64% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 29% 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 47% and 41%, respectively
    • OIS traded notional and trade count increased by 255% and 355%, respectively
  • 74% of total traded notional was cleared vs. 75% last year
  • 58% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 8, 2022

  • SOFR traded notional totaled $771.3 billion, including $104.0 billion of basis swaps. Trade count totaled 9.5 thousand, including 871 basis swaps
  • SONIA traded notional totaled $362.5 billion, including $10.9 billion of basis swaps. Trade count totaled 2.4 thousand, including 100 basis swaps
  • SARON traded notional totaled $15.2 billion, including $0.1 billion of basis swaps. Trade count totaled 375, including 3 basis swaps
  • TONA traded notional totaled $60.4 billion, including $13.9 billion of basis swaps. Trade count totaled 816, including 221 basis swaps
  • €STR traded notional totaled $414.1 billion, including $23.0 billion of basis swaps. Trade count totaled 1.5 thousand, including 243 basis swaps

YTD Ending July 8, 2022

  • SOFR traded notional totaled $26.7 trillion, including $3.8 trillion of basis swaps. Trade count totaled 302.0 thousand, including 28.5 thousand basis swaps
  • SONIA traded notional totaled $12.3 trillion, including $297.1 billion of basis swaps. Trade count totaled 70.8 thousand, including 2.6 thousand basis swaps
  • SARON traded notional totaled $468.6 billion, including $33.6 billion of basis swaps. Trade count totaled 9.1 thousand, including 351 basis swaps
  • TONA traded notional totaled $1.8 trillion, including $392.9 billion of basis swaps. Trade count totaled 25.5 thousand, including 4.8 thousand basis swaps
  • €STR traded notional totaled $17.8 trillion, including $877.5 billion of basis swaps. Trade count totaled 46.7 thousand, including 6.9 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 63% and 69%, respectively
    • CDX HY traded notional and trade count increased by 93% and 76%, respectively
    • CDX IG traded notional and trade count increased by 89% and 97%, respectively
    • iTraxx Europe traded notional and trade count increased by 47% and 79%, respectively
  • 84% of total traded notional was cleared vs. 82% last year
  • 84% of total traded notional was executed on SEFs vs. 81% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 79% and 80%, respectively
    • CDX HY traded notional and trade count increased by 82% and 86%, respectively
    • CDX IG traded notional and trade count both increased by 72%
    • iTraxx Europe traded notional and trade count increased by 101% and 103%, 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