Check out the latest SwapsInfo First Half of 2022 and the Second Quarter of 2022 Review: Summary and ISDA-Clarus RFR Adoption Indicator: June 2022.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 40% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 2% and 28%, respectively
    • FRA traded notional and trade count increased by 18% and 86%, respectively
    • OIS traded notional and trade count increased by 143% and 220%, respectively
  • 75% of total traded notional was cleared vs. 80% last year
  • 62% of total traded notional was executed on SEFs vs. 68% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 30% and 16%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 1% and 18%, respectively
    • FRA traded notional and trade count decreased by 45% and 37%, respectively
    • OIS traded notional and trade count increased by 248% and 344%, respectively
  • 75% 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 22, 2022

  • SOFR traded notional totaled $1.0 trillion, including $127.4 billion of basis swaps. Trade count totaled 11.6 thousand, including 849 basis swaps
  • SONIA traded notional totaled $319.9 billion, including $8.4 billion of basis swaps. Trade count totaled 2.1 thousand, including 72 basis swaps
  • SARON traded notional totaled $12.9 billion, including $1.0 billion of basis swaps. Trade count totaled 279, including 5 basis swaps
  • TONA traded notional totaled $63.8 billion, including $8.8 billion of basis swaps. Trade count totaled 770, including 164 basis swaps
  • €STR traded notional totaled $750.3 billion, including $22.5 billion of basis swaps. Trade count totaled 1.8 thousand, including 202 basis swaps

YTD Ending July 22, 2022

  • SOFR traded notional totaled $28.8 trillion, including $4.1 trillion of basis swaps. Trade count totaled 324.7 thousand, including 30.4 thousand basis swaps
  • SONIA traded notional totaled $12.9 trillion, including $316.0 billion of basis swaps. Trade count totaled 74.9 thousand, including 2.8 thousand basis swaps
  • SARON traded notional totaled $490.0 billion, including $35.1 billion of basis swaps. Trade count totaled 9.6 thousand, including 364 basis swaps
  • TONA traded notional totaled $1.9 trillion, including $413.9 billion of basis swaps. Trade count totaled 27.2 thousand, including 5.1 thousand basis swaps
  • €STR traded notional totaled $19.1 trillion, including $923.8 billion of basis swaps. Trade count totaled 50.2 thousand, including 7.4 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 34% and 57%, respectively
    • CDX HY traded notional and trade count increased by 46% and 51%, respectively
    • CDX IG traded notional and trade count increased by 25% and 42%, respectively
    • iTraxx Europe traded notional and trade count increased by 52% and 90%, respectively
  • 84% of total traded notional was cleared vs. 83% last year
  • 83% of total traded notional was executed on SEFs vs. 81% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 77% and 80%, respectively
    • CDX HY traded notional and trade count increased by 81% and 85%, respectively
    • CDX IG traded notional and trade count increased by 71% and 72%, respectively
    • iTraxx Europe traded notional and trade count increased by 98% and 102%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 82% of total traded notional was executed on SEFs vs. 80% last year