Check out the latest ISDA-Clarus RFR Adoption Indicator: February 2022 and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: December 2021.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 28% and 9%, respectively
    • Fixed-for-floating IRS traded notional increased by 8%, while trade count decreased by 20%
    • FRAs traded notional and trade count decreased by 53% and 63%, respectively
    • OIS traded notional and trade count increased by 242% and 401%, respectively
  • 77% of total traded notional was cleared, flat compared with last year
  • 61% 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 18% and 4%, respectively
    • Fixed-for-floating IRS traded notional increased by 12%, while trade count decreased by 24%
    • FRAs traded notional and trade count decreased by 61% and 55%, respectively
    • OIS traded notional and trade count increased by 204% and 347%, respectively
  • 73% of total traded notional was cleared vs. 75% last year
  • 57% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending March 11, 2022

  • SOFR traded notional totaled $1.1 trillion, including $171.8 billion of basis swaps. Trade count totaled 13.0 thousand, including 1.4 thousand basis swaps
  • SONIA traded notional totaled $594.3 billion, including $11.4 billion of basis swaps. Trade count totaled 3.3 thousand, including 127 basis swaps
  • SARON traded notional totaled $15.3 billion, including $2.1 billion of basis swaps. Trade count totaled 373, including 24 basis swaps
  • TONA traded notional totaled $58.5 billion, including $13.7 billion of basis swaps. Trade count totaled 823, including 197 basis swaps
  • €STR traded notional totaled $811.0 billion, including $42.1 billion of basis swaps. Trade count totaled 2.3 thousand, including 369 basis swaps

YTD Ending March 11, 2022

  • SOFR traded notional totaled $9.7 trillion, including $1.6 trillion of basis swaps. Trade count totaled 103.4 thousand, including 11.4 thousand basis swaps
  • SONIA traded notional totaled $5.0 trillion, including $129.9 billion of basis swaps. Trade count totaled 27.8 thousand, including 1.1 thousand basis swaps
  • SARON traded notional totaled $139.1 billion, including $14.8 billion of basis swaps. Trade count totaled 3.0 thousand, including 151 basis swaps
  • TONA traded notional totaled $608.3 billion, including $123.8 billion of basis swaps. Trade count totaled 8.3 thousand, including 1.5 thousand basis swaps
  • €STR traded notional totaled $5.5 trillion, including $389.6 billion of basis swaps. Trade count totaled 16.1 thousand, including 2.9 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 110% and 84%, respectively
    • CDX HY traded notional and trade count increased by 84% and 66%, respectively
    • CDX IG traded notional and trade count increased by 80% and 65%, respectively
    • iTraxx Europe traded notional and trade count increased by 164% and 143%, respectively
  • 84% of total traded notional was cleared, flat compared with last year
  • 83% 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 84% and 67%, respectively
    • CDX HY traded notional and trade count increased by 73% and 66%, respectively
    • CDX IG traded notional and trade count increased by 64% and 49%, respectively
    • iTraxx Europe traded notional and trade count increased by 129% and 101%, respectively
  • 82% of total traded notional was cleared vs. 80% last year
  • 81% of total traded notional was executed on SEFs vs. 80% last year