Check out the latest Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2021 and ISDA-Clarus RFR Adoption Indicator: May 2022.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 45% and 25%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 44% and 23%, respectively
    • FRA traded notional and trade count decreased by 72% and 79%, respectively
    • OIS traded notional and trade count increased by 439% and 425%, respectively
  • 68% of total traded notional was cleared vs. 75% last year
  • 45% 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 29% and 17%, respectively
    • Fixed-for-floating IRS traded notional increased by 0.1%, while trade count decreased by 17%
    • FRA traded notional and trade count decreased by 49% and 43%, respectively
    • OIS traded notional and trade count increased by 267% and 367%, respectively
  • 74% of total traded notional was cleared vs. 75% last year
  • 58% of total traded notional was executed on SEFs vs. 70% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 17, 2022

  • SOFR traded notional totaled $1.3 trillion, including $136.2 billion of basis swaps. Trade count totaled 15.6 thousand, including 1.0 thousand basis swaps
  • SONIA traded notional totaled $1.1 trillion, including $10.4 billion of basis swaps. Trade count totaled 3.8 thousand, including 104 basis swaps
  • SARON traded notional totaled $41.2 billion, including $2.6 billion of basis swaps. Trade count totaled 650, including 18 basis swaps
  • TONA traded notional totaled $114.9 billion, including $19.4 billion of basis swaps. Trade count totaled 1.8 thousand, including 217 basis swaps
  • €STR traded notional totaled $875.6 billion, including $34.5 billion of basis swaps. Trade count totaled 2.3 thousand, including 253 basis swaps

YTD Ending June 17, 2022

  • SOFR traded notional totaled $24.1 trillion, including $3.5 trillion of basis swaps. Trade count totaled 270.5 thousand, including 25.8 thousand basis swaps
  • SONIA traded notional totaled $10.9 trillion, including $270.9 billion of basis swaps. Trade count totaled 63.1 thousand, including 2.4 thousand basis swaps
  • SARON traded notional totaled $407.2 billion, including $32.2 billion of basis swaps. Trade count totaled 7.8 thousand, including 329 basis swaps
  • TONA traded notional totaled $1.6 trillion, including $347.8 billion of basis swaps. Trade count totaled 22.5 thousand, including 4.1 thousand basis swaps
  • €STR traded notional totaled $16.0 trillion, including $766.1 billion of basis swaps. Trade count totaled 41.5 thousand, including 6.2 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 175% and 164%, respectively
    • CDX HY traded notional and trade count increased by 216% and 190%, respectively
    • CDX IG traded notional and trade count increased by 208% and 159%, respectively
    • iTraxx Europe traded notional and trade count increased by 140% and 179%, respectively
  • 84% of total traded notional was cleared vs. 79% last year
  • 81% 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 both increased by 78%
    • CDX HY traded notional and trade count increased by 78% and 83%, respectively
    • CDX IG traded notional and trade count increased by 71% and 70%, respectively
    • iTraxx Europe traded notional and trade count both increased by 100%
  • 83% of total traded notional was cleared vs. 80% last year
  • 82% of total traded notional was executed on SEFs vs. 80% last year