Check out the latest Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: October 2021 and ISDA-Clarus RFR Adoption Indicator: December 2021.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 34% and 31%, respectively
    • Fixed-for-floating IRS traded notional increased by 26%, while trade count decreased by 24%
    • FRAs traded notional and trade count decreased by 38% and 41%, respectively
    • OIS traded notional and trade count increased by 141% and 355%, respectively
  • 66% of total traded notional was cleared vs. 80% last year
  • 55% of total traded notional was executed on SEFs vs. 75% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 17% and 19%, respectively
    • Fixed-for-floating IRS traded notional increased by 30%, while trade count decreased by 21%
    • FRAs traded notional and trade count decreased by 50% and 43%, respectively
    • OIS traded notional and trade count increased by 100% and 361%, respectively
  • 70% of total traded notional was cleared vs. 79% last year
  • 59% of total traded notional was executed on SEFs vs. 72% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending January 14, 2022

  • SOFR traded notional totaled $847.4 billion, including $205.6 billion of basis swaps. Trade count totaled 9.2 thousand, including 1.2 thousand basis swaps
  • SONIA traded notional totaled $386.8 billion, including $14.9 billion of basis swaps. Trade count totaled 2.2 thousand, including 103 basis swaps
  • SARON traded notional totaled $16.7 billion, including $3.8 billion of basis swaps. Trade count totaled 311, including 28 basis swaps
  • TONA traded notional totaled $59.5 billion, including $9.8 billion of basis swaps. Trade count totaled 813, including 121 basis swaps
  • €STR traded notional totaled $216.3 billion, including $35.1 billion of basis swaps. Trade count totaled 1.1 thousand, including 279 basis swaps

YTD Ending January 14, 2022

  • SOFR traded notional totaled $1.7 trillion, including $379.2 billion of basis swaps. Trade count totaled 18.6 thousand, including 2.2 thousand basis swaps
  • SONIA traded notional totaled $750.4 billion, including $34.9 billion of basis swaps. Trade count totaled 5.0 thousand, including 237 basis swaps
  • SARON traded notional totaled $31.1 billion, including $5.3 billion of basis swaps. Trade count totaled 628, including 41 basis swaps
  • TONA traded notional totaled $110.6 billion, including $18.7 billion of basis swaps. Trade count totaled 1.6 thousand, including 232 basis swaps
  • €STR traded notional totaled $440.4 billion, including $72.4 billion of basis swaps. Trade count totaled 2.4 thousand, including 534 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 42% and 22%, respectively
    • CDX HY traded notional and trade count increased by 48% and 35%, respectively
    • CDX IG traded notional and trade count increased by 39% and 18%, respectively
    • iTraxx Europe traded notional and trade count increased by 59% and 38%, respectively
  • 78% of total traded notional was cleared, flat compared with last year
  • 78% of total traded notional was executed on SEFs, flat compared with last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 40% and 19%, respectively
    • CDX HY traded notional and trade count increased by 46% and 28%, respectively
    • CDX IG traded notional and trade count increased by 42% and 15%, respectively
    • iTraxx Europe traded notional and trade count increased by 59% and 39%, respectively
  • 77% of total traded notional was cleared, flat compared with last year
  • 78% of total traded notional was executed on SEFs vs. 76% last year