Check out the latest ISDA-Clarus RFR Adoption Indicator: June 2022 and Demystifying Derivatives Trading in the EU.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 54% and 26%, respectively
    • Fixed-for-floating IRS traded notional increased by 1%, while trade count decreased by 17%
    • FRA traded notional and trade count increased by 7% and 76%, respectively
    • OIS traded notional and trade count increased by 208% and 242%, respectively
  • 79% of total traded notional was cleared vs. 77% last year
  • 63% of total traded notional was executed on SEFs vs. 65% 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 and trade count decreased by 1% and 17%, respectively
    • FRA traded notional and trade count decreased by 46% and 39%, respectively
    • OIS traded notional and trade count increased by 253% and 350%, respectively
  • 74% 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 July 15, 2022

  • SOFR traded notional totaled $1.0 trillion, including $124.6 billion of basis swaps. Trade count totaled 11.2 thousand, including 1.0 thousand basis swaps
  • SONIA traded notional totaled $308.4 billion, including $10.5 billion of basis swaps. Trade count totaled 2.1 thousand, including 87 basis swaps
  • SARON traded notional totaled $8.5 billion, including $0.6 billion of basis swaps. Trade count totaled 230, including 8 basis swaps
  • TONA traded notional totaled $64.6 billion, including $12.1 billion of basis swaps. Trade count totaled 898, including 175 basis swaps
  • €STR traded notional totaled $562.7 billion, including $23.7 billion of basis swaps. Trade count totaled 1.7 thousand, including 237 basis swaps

YTD Ending July 15, 2022

  • SOFR traded notional totaled $27.7 trillion, including $3.9 trillion of basis swaps. Trade count totaled 313.2 thousand, including 29.5 thousand basis swaps
  • SONIA traded notional totaled $12.6 trillion, including $307.7 billion of basis swaps. Trade count totaled 72.9 thousand, including 2.7 thousand basis swaps
  • SARON traded notional totaled $477.1 billion, including $34.2 billion of basis swaps. Trade count totaled 9.3 thousand, including 359 basis swaps
  • TONA traded notional totaled $1.8 trillion, including $405.0 billion of basis swaps. Trade count totaled 26.4 thousand, including 5.0 thousand basis swaps
  • €STR traded notional totaled $18.3 trillion, including $901.2 billion of basis swaps. Trade count totaled 48.4 thousand, including 7.2 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 77% and 88%, respectively
    • CDX HY traded notional and trade count increased by 85% and 97%, respectively
    • CDX IG traded notional and trade count increased by 113% and 112%, respectively
    • iTraxx Europe traded notional and trade count increased by 77% and 109%, respectively
  • 86% of total traded notional was cleared vs. 80% last year
  • 85% 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 79% and 80%, respectively
    • CDX HY traded notional and trade count increased by 82% and 86%, respectively
    • CDX IG traded notional and trade count both increased by 73%
    • iTraxx Europe traded notional and trade count increased by 100% and 103%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 82% of total traded notional was executed on SEFs vs. 80% last year