Check out the latest ISDA-Clarus RFR Adoption Indicator: August 2022.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 38% and 27%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 26% and 10%, respectively
    • FRA traded notional and trade count decreased by 15% and 12%, respectively
    • OIS traded notional and trade count increased by 213% and 199%, respectively
  • 74% of total traded notional was cleared vs. 79% last year
  • 56% of total traded notional was executed on SEFs vs. 69% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 32% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 2% and 16%, respectively
    • FRA traded notional and trade count decreased by 41% and 32%, respectively
    • OIS traded notional and trade count increased by 236% and 311%, 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 September 16, 2022

  • SOFR traded notional totaled $1.3 trillion, including $153.4 billion of basis swaps. Trade count totaled 12.9 thousand, including 1.2 thousand basis swaps
  • SONIA traded notional totaled $462.6 billion, including $14.8 billion of basis swaps. Trade count totaled 3.2 thousand, including 123 basis swaps
  • SARON traded notional totaled $43.7 billion, including $4.5 billion of basis swaps. Trade count totaled 615, including 37 basis swaps
  • TONA traded notional totaled $92.8 billion, including $18.8 billion of basis swaps. Trade count totaled 1.3 thousand, including 263 basis swaps
  • €STR traded notional totaled $687.2 billion, including $33.2 billion of basis swaps. Trade count totaled 2.2 thousand, including 289 basis swaps

YTD Ending September 16, 2022

  • SOFR traded notional totaled $37.3 trillion, including $5.0 trillion of basis swaps. Trade count totaled 422.8 thousand, including 37.8 thousand basis swaps
  • SONIA traded notional totaled $16.2 trillion, including $397.5 billion of basis swaps. Trade count totaled 98.1 thousand, including 3.7 thousand basis swaps
  • SARON traded notional totaled $666.1 billion, including $44.9 billion of basis swaps. Trade count totaled 12.5 thousand, including 453 basis swaps
  • TONA traded notional totaled $2.4 trillion, including $540.9 billion of basis swaps. Trade count totaled 35.2 thousand, including 6.8 thousand basis swaps
  • €STR traded notional totaled $24.2 trillion, including $1.2 trillion of basis swaps. Trade count totaled 64.7 thousand, including 9.2 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 88% and 110%, respectively
    • CDX HY traded notional and trade count increased by 92% and 136%, respectively
    • CDX IG traded notional and trade count increased by 110% and 141%, respectively
    • iTraxx Europe traded notional and trade count increased by 117% and 161%, respectively
  • 81% of total traded notional was cleared vs. 74% last year
  • 81% of total traded notional was executed on SEFs vs. 71% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 78% and 84%, respectively
    • CDX HY traded notional and trade count increased by 80% and 88%, respectively
    • CDX IG traded notional and trade count increased by 76% and 80%, respectively
    • iTraxx Europe traded notional and trade count increased by 98% and 110%, 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