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
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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
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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
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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
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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
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