Check out the latest ISDA-Clarus RFR Adoption Indicator: July 2022 and SwapsInfo First Half of 2022 and the Second Quarter of 2022 Review.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 57% and 40%, respectively
    • Fixed-for-floating IRS traded notional increased by 6%, while trade count deceased by 10%
    • FRA traded notional and trade count increased by 39% and 65%, respectively
    • OIS traded notional and trade count increased by 209% and 256%, respectively
  • 79% of total traded notional was cleared, flat compared with last year
  • 68% of total traded notional was executed on SEFs vs. 70% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 31% and 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 2% and 17%, respectively
    • FRA traded notional and trade count decreased by 42% and 33%, respectively
    • OIS traded notional and trade count increased by 240% and 332%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 59% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending August 19, 2022

  • SOFR traded notional totaled $935.7 billion, including $100.3 billion of basis swaps. Trade count totaled 11.7 thousand, including 793 basis swaps
  • SONIA traded notional totaled $396.1 billion, including $8.6 billion of basis swaps. Trade count totaled 2.6 thousand, including 105 basis swaps
  • SARON traded notional totaled $16.4 billion, including $0.2 billion of basis swaps. Trade count totaled 319, including 8 basis swaps
  • TONA traded notional totaled $51.1 billion, including $13.4 billion of basis swaps. Trade count totaled 798, including 152 basis swaps
  • €STR traded notional totaled $512.4 billion, including $25.1 billion of basis swaps. Trade count totaled 1.4 thousand, including 195 basis swaps

YTD Ending August 19, 2022

  • SOFR traded notional totaled $33.0 trillion, including $4.5 trillion of basis swaps. Trade count totaled 374.9 thousand, including 33.8 thousand basis swaps
  • SONIA traded notional totaled $14.5 trillion, including $348.4 billion of basis swaps. Trade count totaled 85.6 thousand, including 3.2 thousand basis swaps
  • SARON traded notional totaled $545.3 billion, including $37.2 billion of basis swaps. Trade count totaled 10.8 thousand, including 390 basis swaps
  • TONA traded notional totaled $2.1 trillion, including $473.8 billion of basis swaps. Trade count totaled 30.8 thousand, including 5.8 thousand basis swaps
  • €STR traded notional totaled $20.8 trillion, including $1.0 trillion of basis swaps. Trade count totaled 56.0 thousand, including 8.2 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 25% and 49%, respectively
    • CDX HY traded notional and trade count increased by 5% and 29%, respectively
    • CDX IG traded notional and trade count increased by 38% and 61%, respectively
    • iTraxx Europe traded notional and trade count increased by 33% and 93%, respectively
  • 79% of total traded notional was cleared, flat compared with last year
  • 77% of total traded notional was executed on SEFs vs. 78% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 76% and 80%, respectively
    • CDX HY traded notional and trade count increased by 78% and 84%, respectively
    • CDX IG traded notional and trade count increased by 72% and 74%, respectively
    • iTraxx Europe traded notional and trade count increased by 96% and 105%, 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