Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count decreased by 22% and 31%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 43% and 54%, respectively
    • FRAs traded notional and trade count decreased by 73% and 66%, respectively
    • OIS traded notional and trade count increased by 130% and 194%, respectively
  • 74% of total traded notional was cleared vs. 71% last year
  • 56% of total traded notional was executed on SEFs vs. 64% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 18% and 6%, respectively
    • Fixed-for-floating IRS traded notional increased by 18%, while trade count decreased by 23%
    • FRAs traded notional and trade count decreased by 60% and 52%, respectively
    • OIS traded notional and trade count increased by 194% and 340%, respectively
  • 73% of total traded notional was cleared vs. 76% last year
  • 58% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending February 25, 2022

  • SOFR traded notional totaled $960.9 billion, including $127.2 billion of basis swaps. Trade count totaled 9.4 thousand, including 863 basis swaps
  • SONIA traded notional totaled $477.5 billion, including $13.5 billion of basis swaps. Trade count totaled 3.2 thousand, including 108 basis swaps
  • SARON traded notional totaled $15.4 billion, including $0.5 billion of basis swaps. Trade count totaled 376, including 7 basis swaps
  • TONA traded notional totaled $48.4 billion, including $9.1 billion of basis swaps. Trade count totaled 640, including 98 basis swaps
  • €STR traded notional totaled $710.4 billion, including $31.6 billion of basis swaps. Trade count totaled 1.6 thousand, including 196 basis swaps

YTD Ending February 25, 2022

  • SOFR traded notional totaled $7.2 trillion, including $1.2 trillion of basis swaps. Trade count totaled 75.9 thousand, including 8.4 thousand basis swaps
  • SONIA traded notional totaled $3.8 trillion, including $106.8 billion of basis swaps. Trade count totaled 21.2 thousand, including 822 basis swaps
  • SARON traded notional totaled $107.5 billion, including $10.9 billion of basis swaps. Trade count totaled 2.2 thousand, including 105 basis swaps
  • TONA traded notional totaled $479.1 billion, including $91.6 billion of basis swaps. Trade count totaled 6.6 thousand, including 1.1 thousand basis swaps
  • €STR traded notional totaled $3.9 trillion, including $295.8 billion of basis swaps. Trade count totaled 11.4 thousand, including 2.1 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 23% and 25%, respectively
    • CDX HY traded notional decreased by 1%, while trade count increased by 4%
    • CDX IG traded notional decreased by 2%, while trade count increased by 2%
    • iTraxx Europe traded notional and trade count increased by 67% and 72%, respectively
  • 85% of total traded notional was cleared vs. 84% last year
  • 85% of total traded notional was executed on SEFs vs. 84% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 84% and 68%, respectively
    • CDX HY traded notional and trade count increased by 81% and 73%, respectively
    • CDX IG traded notional and trade count increased by 69% and 52%, respectively
    • iTraxx Europe traded notional and trade count increased by 121% and 98%, respectively
  • 82% of total traded notional was cleared vs. 80% last year
  • 81% of total traded notional was executed on SEFs vs. 79% last year