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 Full Report.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional increased by 7%, while trade count decreased by 4%
    • Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 24%
    • FRAs traded notional and trade count decreased by 79% and 65%, respectively
    • OIS traded notional and trade count increased by 202% and 286%, respectively
  • 71% of total traded notional was cleared vs. 73% last year
  • 51% of total traded notional was executed on SEFs vs. 67% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 20% and 15%, respectively
    • Fixed-for-floating IRS traded notional increased by 31%, while trade count decreased by 15%
    • FRAs traded notional and trade count decreased by 58% and 48%, respectively
    • OIS traded notional and trade count increased by 173% and 361%, respectively
  • 73% of total traded notional was cleared vs. 77% last year
  • 58% of total traded notional was executed on SEFs vs. 70% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending February 4, 2022

  • SOFR traded notional totaled $804.2 billion, including $118.7 billion of basis swaps. Trade count totaled 8.6 thousand, including 948 basis swaps
  • SONIA traded notional totaled $578.2 billion, including $10.3 billion of basis swaps. Trade count totaled 2.5 thousand, including 74 basis swaps
  • SARON traded notional totaled $18.0 billion, including $1.0 million of basis swaps. Trade count totaled 350, including 2 basis swaps
  • TONA traded notional totaled $63.9 billion, including $14.6 billion of basis swaps. Trade count totaled 795, including 149 basis swaps
  • €STR traded notional totaled $768.8 billion, including $34.5 billion of basis swaps. Trade count totaled 1.5 thousand, including 228 basis swaps

YTD Ending February 4, 2022

  • SOFR traded notional totaled $4.2 trillion, including $780.3 billion of basis swaps. Trade count totaled 45.2 thousand, including 5.3 thousand basis swaps
  • SONIA traded notional totaled $2.2 trillion, including $67.8 billion of basis swaps. Trade count totaled 11.9 thousand, including 507 basis swaps
  • SARON traded notional totaled $64.3 billion, including $8.2 billion of basis swaps. Trade count totaled 1.3 thousand, including 79 basis swaps
  • TONA traded notional totaled $282.6 billion, including $55.0 billion of basis swaps. Trade count totaled 4.0 thousand, including 684 basis swaps
  • €STR traded notional totaled $1.9 trillion, including $176.5 billion of basis swaps. Trade count totaled 6.1 thousand, including 1.3 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 139% and 111%, respectively
    • CDX HY traded notional and trade count both increased by 127%
    • CDX IG traded notional and trade count increased by 114% and 76%, respectively
    • iTraxx Europe traded notional and trade count increased by 231% and 179%, respectively
  • 84% of total traded notional was cleared vs. 79% last year
  • 83% of total traded notional was executed on SEFs vs. 78% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 85% and 61%, respectively
    • CDX HY traded notional and trade count increased by 87% and 73%, respectively
    • CDX IG traded notional and trade count increased by 76% and 48%, respectively
    • iTraxx Europe traded notional and trade count increased by 129% and 89%, respectively
  • 81% of total traded notional was cleared vs. 79% last year
  • 81% of total traded notional was executed on SEFs vs. 78% last year