Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional increased by 12%, while trade count decreased by 10%
    • Fixed-for-floating IRS traded notional and trade count decreased by 29% and 39%, respectively
    • FRAs traded notional and trade count decreased by 79% and 83%, respectively
    • OIS traded notional and trade count increased by 248% and 335%, respectively
  • 70% of total traded notional was cleared vs. 72% last year
  • 47% 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 17% and 4%, respectively
    • Fixed-for-floating IRS traded notional increased by 13%, while trade count decreased by 25%
    • FRAs traded notional and trade count decreased by 62% and 55%, respectively
    • OIS traded notional and trade count increased by 200% and 340%, 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 4, 2022

  • SOFR traded notional totaled $1.4 trillion, including $216.1 billion of basis swaps. Trade count totaled 14.4 thousand, including 1.6 thousand basis swaps
  • SONIA traded notional totaled $542.0 billion, including $13.2 billion of basis swaps. Trade count totaled 3.3 thousand, including 142 basis swaps
  • SARON traded notional totaled $16.4 billion, including $1.8 billion of basis swaps. Trade count totaled 378, including 22 basis swaps
  • TONA traded notional totaled $71.9 billion, including $19.4 billion of basis swaps. Trade count totaled 879, including 212 basis swaps
  • €STR traded notional totaled $812.4 billion, including $53.2 billion of basis swaps. Trade count totaled 2.4 thousand, including 431 basis swaps

YTD Ending March 4, 2022

  • SOFR traded notional totaled $8.5 trillion, including $1.4 trillion of basis swaps. Trade count totaled 90.3 thousand, including 10.0 thousand basis swaps
  • SONIA traded notional totaled $4.4 trillion, including $118.7 billion of basis swaps. Trade count totaled 24.5 thousand, including 962 basis swaps
  • SARON traded notional totaled $123.9 billion, including $12.7 billion of basis swaps. Trade count totaled 2.6 thousand, including 127 basis swaps
  • TONA traded notional totaled $550.4 billion, including $110.5 billion of basis swaps. Trade count totaled 7.4 thousand, including 1.3 thousand basis swaps
  • €STR traded notional totaled $4.6 trillion, including $348.5 billion of basis swaps. Trade count totaled 13.8 thousand, including 2.5 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 61% and 43%, respectively
    • CDX HY traded notional and trade count increased by 23% and 26%, respectivel
    •  CDX IG traded notional and trade count increased by 26% and 20%, respectively
    • iTraxx Europe traded notional and trade count increased by 149% and 89%, respectively
  • 84% of total traded notional was cleared, flat compared with last year
  • 84% of total traded notional was executed on SEFs vs. 83% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 81% and 65%, respectively
    • CDX HY traded notional and trade count increased by 72% and 66%, respectively
    • CDX IG traded notional and trade count increased by 63% and 47%, respectively
    • iTraxx Europe traded notional and trade count increased by 125% and 97%, 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