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

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional decreased by 6%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional and trade count decreased by 27% and 26%, respectively
    • FRA traded notional and trade count increased by 70% and 67%, respectively
    • OIS traded notional decreased by 7%, while trade count increased by 106%
  • 74% of total traded notional was cleared, flat compared with last year
  • 62% of total traded notional was executed on SEFs vs. 56% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 28% and 21%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 5% and 16%, respectively
    • FRA traded notional and trade count decreased by 37% and 28%, respectively
    • OIS traded notional and trade count increased by 178% and 277%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 59% of total traded notional was executed on SEFs vs. 67% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 21, 2022

  • SOFR traded notional totaled $1.1 trillion, including $168.8 billion of basis swaps. Trade count totaled 13.5 thousand, including 1.2 thousand basis swaps
  • SONIA traded notional totaled $575.8 billion, including $15.6 billion of basis swaps. Trade count totaled 4.4 thousand, including 206 basis swaps
  • SARON traded notional totaled $12.9 billion, including $0.5 billion of basis swaps. Trade count totaled 404, including 11 basis swaps
  • TONA traded notional totaled $81.9 billion, including $18.9 billion of basis swaps. Trade count totaled 1.2 thousand, including 251 basis swaps
  • €STR traded notional totaled $502.5 billion, including $33.9 billion of basis swaps. Trade count totaled 1.7 thousand, including 260 basis swaps

YTD Ending October 21, 2022

  • SOFR traded notional totaled $43.3 trillion, including $5.8 trillion of basis swaps. Trade count totaled 490.5 thousand, including 43.8 thousand basis swaps
  • SONIA traded notional totaled $19.2 trillion, including $497.6 billion of basis swaps. Trade count totaled 120.5 thousand, including 4.9 thousand basis swaps
  • SARON traded notional totaled $769.4 billion, including $53.7 billion of basis swaps. Trade count totaled 14.8 thousand, including 517 basis swaps
  • TONA traded notional totaled $2.7 trillion, including $631.4 billion of basis swaps. Trade count totaled 40.4 thousand, including 7.9 thousand basis swaps
  • €STR traded notional totaled $27.0 trillion, including $1.3 trillion of basis swaps. Trade count totaled 74.3 thousand, including 10.6 thousand basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2022 Current Week vs. 2021 Current Week
  • Total credit derivatives traded notional decreased by 10%, while trade count increased by 37%
    • CDX HY traded notional and trade count increased by 37% and 70%, respectively
    • CDX IG traded notional and trade count increased by 36% and 78%, respectively
    • iTraxx Europe traded notional decreased by 39%, while trade count increased by 16%
  • 83% of total traded notional was cleared vs. 61% with last year
  • 82% of total traded notional was executed on SEFs vs. 57% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 64% and 76%, respectively
    • CDX HY traded notional and trade count increased by 67% and 83%, respectively
    • CDX IG traded notional and trade count increased by 69% and 77%, respectively
    • iTraxx Europe traded notional and trade count increased by 75% and 94%, respectively
  • 84% of total traded notional was cleared vs. 80% last year
  • 83% of total traded notional was executed on SEFs vs. 80% last year