Check out the latest Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: October 2021. 

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional decreased by 2%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional increased by 35%, while trade count decreased by 18%
    • FRAs traded notional and trade count decreased by 67% and 46%, respectively
    • OIS traded notional and trade count increased by 67% and 367%, respectively
  • 77% of total traded notional was cleared vs. 78% last year
  • 66% of total traded notional was executed on SEFs vs. 69% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional decreased by 2%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional increased by 35%, while trade count decreased by 18%
    • FRAs traded notional and trade count decreased by 67% and 46%, respectively
    • OIS traded notional and trade count increased by 67% and 367%, respectively
  • 77% of total traded notional was cleared vs. 78% last year
  • 66% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending January 7, 2022

  • SOFR traded notional totaled $834.3 billion, including $174.9 billion of basis swaps. Trade count totaled 9.4 thousand, including 1.1 thousand basis swaps
  • SONIA traded notional totaled $366.2 billion, including $21.1 billion of basis swaps. Trade count totaled 2.8 thousand, including 136 basis swaps
  • SARON traded notional totaled $13.4 billion, including $1.6 billion of basis swaps. Trade count totaled 311, including 13 basis swaps
  • TONA traded notional totaled $51.2 billion, including $9.0 billion of basis swaps. Trade count totaled 800, including 113 basis swaps
  • €STR traded notional totaled $223.9 billion, including $37.2 billion of basis swaps. Trade count totaled 1.3 thousand, including 253 basis swaps

YTD Ending January 7, 2022

  • SOFR traded notional totaled $834.3 billion, including $174.9 billion of basis swaps. Trade count totaled 9.4 thousand, including 1.1 thousand basis swaps
  • SONIA traded notional totaled $366.2 billion, including $21.1 billion of basis swaps. Trade count totaled 2.8 thousand, including 136 basis swaps
  • SARON traded notional totaled $13.4 billion, including $1.6 billion of basis swaps. Trade count totaled 311, including 13 basis swaps
  • TONA traded notional totaled $51.2 billion, including $9.0 billion of basis swaps. Trade count totaled 800, including 113 basis swaps
  • €STR traded notional totaled $223.9 billion, including $37.2 billion of basis swaps. Trade count totaled 1.3 thousand, including 253 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 38% and 17%, respectively
    • CDX HY traded notional and trade count increased by 44% and 21%, respectively
    • CDX IG traded notional and trade count increased by 44% and 13%, respectively
    • iTraxx Europe traded notional and trade count increased by 58% and 39%, respectively
  • 77% of total traded notional was cleared vs. 76% last year
  • 79% of total traded notional was executed on SEFs vs. 74% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 38% and 17%, respectively
    • CDX HY traded notional and trade count increased by 44% and 21%, respectively
    • CDX IG traded notional and trade count increased by 44% and 13%, respectively
    • iTraxx Europe traded notional and trade count increased by 58% and 39%, respectively
  • 77% of total traded notional was cleared vs. 76% last year
  • 79% of total traded notional was executed on SEFs vs. 74% last year