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

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 48% and 28%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 7% and 6%, respectively
    • FRA traded notional and trade count decreased by 3% and 5%, respectively
    • OIS traded notional and trade count increased by 189% and 184%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 55% of total traded notional was executed on SEFs vs. 63% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 32% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 2% and 16%, respectively
    • FRA traded notional and trade count decreased by 41% and 32%, respectively
    • OIS traded notional and trade count increased by 237% and 316%, 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 September 9, 2022

  • SOFR traded notional totaled $818.9 billion, including $111.1 billion of basis swaps. Trade count totaled 9.8 thousand, including 973 basis swaps
  • SONIA traded notional totaled $499.2 billion, including $8.1 billion of basis swaps. Trade count totaled 3.5 thousand, including 123 basis swaps
  • SARON traded notional totaled $28.7 billion, including $1.9 billion of basis swaps. Trade count totaled 471, including 14 basis swaps
  • TONA traded notional totaled $68.5 billion, including $18.2 billion of basis swaps. Trade count totaled 1.3 thousand, including 296 basis swaps
  • €STR traded notional totaled $1.1 trillion, including $47.4 billion of basis swaps. Trade count totaled 2.7 thousand, including 234 basis swaps

YTD Ending September 9, 2022

  • SOFR traded notional totaled $36.0 trillion, including $4.9 trillion of basis swaps. Trade count totaled 409.8 thousand, including 36.7 thousand basis swaps
  • SONIA traded notional totaled $15.7 trillion, including $380.2 billion of basis swaps. Trade count totaled 94.9 thousand, including 3.6 thousand basis swaps
  • SARON traded notional totaled $622.4 billion, including $40.4 billion of basis swaps. Trade count totaled 11.9 thousand, including 416 basis swaps
  • TONA traded notional totaled $2.3 trillion, including $522.1 billion of basis swaps. Trade count totaled 33.9 thousand, including 6.5 thousand basis swaps
  • €STR traded notional totaled $23.5 trillion, including $1.1 trillion of basis swaps. Trade count totaled 62.5 thousand, including 8.9 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 115% and 148%, respectively
    • CDX HY traded notional and trade count increased by 113% and 145%, respectively
    • CDX IG traded notional and trade count increased by 226% and 240%, respectively
    • iTraxx Europe traded notional and trade count increased by 127% and 190%, respectively
  • 87% of total traded notional was cleared vs. 74% last year
  • 86% of total traded notional was executed on SEFs vs. 73% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 77% and 83%, respectively
    • CDX HY traded notional and trade count increased by 80% and 87%, respectively
    • CDX IG traded notional and trade count increased by 75% and 78%, respectively
    • iTraxx Europe traded notional and trade count increased by 98% and 109%, 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