Check out the latest Transition to RFRs Review: Full Year 2021 and the Fourth Quarter of 2021 and SwapsInfo Full Year 2021 and the Fourth Quarter of 2021 Review: Summary.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 24% and 13%, respectively
    • Fixed-for-floating IRS traded notional increased by 30%, while trade count decreased by 8%
    • FRAs traded notional and trade count decreased by 70% and 49%, respectively
    • OIS traded notional and trade count increased by 270% and 400%, respectively
  • 77% of total traded notional was cleared, flat compared with last year
  • 56% 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 23% and 20%, respectively
    • Fixed-for-floating IRS traded notional increased by 37%, while trade count decreased by 13%
    • FRAs traded notional and trade count decreased by 54% and 45%, respectively
    • OIS traded notional and trade count increased by 165% and 384%, respectively
  • 73% of total traded notional was cleared vs. 78% last year
  • 59% of total traded notional was executed on SEFs vs. 71% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending January 28, 2022

  • SOFR traded notional totaled $881.5 billion, including $130.8 billion of basis swaps. Trade count totaled 9.7 thousand, including 1.0 thousand basis swaps
  • SONIA traded notional totaled $356.4 billion, including $11.8 billion of basis swaps. Trade count totaled 2.2 thousand, including 106 basis swaps
  • SARON traded notional totaled $5.9 billion, including $1.4 billion of basis swaps. Trade count totaled 182, including 16 basis swaps
  • TONA traded notional totaled $53.9 billion, including $11.8 billion of basis swaps. Trade count totaled 762, including 149 basis swaps
  • €STR traded notional totaled $333.2 billion, including $29.2 billion of basis swaps. Trade count totaled 940, including 218 basis swaps

YTD Ending January 28, 2022

  • SOFR traded notional totaled $3.4 trillion, including $663.6 billion of basis swaps. Trade count totaled 36.5 thousand, including 4.4 thousand basis swaps
  • SONIA traded notional totaled $1.6 trillion, including $57.5 billion of basis swaps. Trade count totaled 9.4 thousand, including 433 basis swaps
  • SARON traded notional totaled $46.3 billion, including $8.2 billion of basis swaps. Trade count totaled 990, including 77 basis swaps
  • TONA traded notional totaled $219.9 billion, including $41.2 billion of basis swaps. Trade count totaled 3.2 thousand, including 538 basis swaps
  • €STR traded notional totaled $1.1 trillion, including $142.0 billion of basis swaps. Trade count totaled 4.6 thousand, including 1.1 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 104% and 78%, respectively
    • CDX HY traded notional and trade count increased by 107% and 91%, respectively
    • CDX IG traded notional and trade count increased by 88% and 65%, respectively
    • iTraxx Europe traded notional and trade count increased by 141% and 94%, respectively
  • 84% of total traded notional was cleared vs. 83% last year
  • 83% of total traded notional was executed on SEFs vs. 82% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 72% and 48%, respectively
    • CDX HY traded notional and trade count increased by 76% and 59%, respectively
    • CDX IG traded notional and trade count increased by 65% and 40%, respectively
    • iTraxx Europe traded notional and trade count increased by 105% and 68%, respectively
  • 80% of total traded notional was cleared vs. 78% last year
  • 80% of total traded notional was executed on SEFs vs. 78% last year