Check out the latest SwapsInfo Third Quarter of 2022 and Year-to-September 30, 2022 Review: Summary.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 3% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 53% and 25%, respectively
    • FRA traded notional and trade count increased by 114% and 78%, respectively
    • OIS traded notional and trade count increased by 41% and 100%, respectively
  • 73% of total traded notional was cleared vs. 77% last year
  • 57% of total traded notional was executed on SEFs vs. 63% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 27% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 7% and 16%, respectively
    • FRA traded notional and trade count decreased by 36% and 26%, respectively
    • OIS traded notional and trade count increased by 172% and 276%, 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 28, 2022

  • SOFR traded notional totaled $1.3 trillion, including $194.4 billion of basis swaps. Trade count totaled 15.1 thousand, including 1.3 thousand basis swaps
  • SONIA traded notional totaled $831.2 billion, including $13.9 billion of basis swaps. Trade count totaled 3.9 thousand, including 199 basis swaps
  • SARON traded notional totaled $12.0 billion, including $1.7 billion of basis swaps. Trade count totaled 298, including 21 basis swaps
  • TONA traded notional totaled $80.6 billion, including $23.6 billion of basis swaps. Trade count totaled 1.3 thousand, including 327 basis swaps
  • €STR traded notional totaled $684.9 billion, including $41.4 billion of basis swaps. Trade count totaled 2.2 thousand, including 304 basis swaps

YTD Ending October 28, 2022

  • SOFR traded notional totaled $44.6 trillion, including $6.0 trillion of basis swaps. Trade count totaled 505.6 thousand, including 45.2 thousand basis swaps
  • SONIA traded notional totaled $20.0 trillion, including $511.6 billion of basis swaps. Trade count totaled 124.4 thousand, including 5.1 thousand basis swaps
  • SARON traded notional totaled $781.4 billion, including $55.5 billion of basis swaps. Trade count totaled 15.1 thousand, including 538 basis swaps
  • TONA traded notional totaled $2.8 trillion, including $655.1 billion of basis swaps. Trade count totaled 41.7 thousand, including 8.3 thousand basis swaps
  • €STR traded notional totaled $27.7 trillion, including $1.4 trillion of basis swaps. Trade count totaled 76.4 thousand, including 10.9 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 20% and 51%, respectively
    • CDX HY traded notional and trade count increased by 29% and 66%, respectively
    • CDX IG traded notional and trade count increased by 34% and 71%, respectively
    • iTraxx Europe traded notional and trade count increased by 18% and 64%, respectively
  • 84% of total traded notional was cleared vs. 80% with last year
  • 83% of total traded notional was executed on SEFs vs. 79% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 63% and 75%, respectively
    • CDX HY traded notional and trade count increased by 66% and 82%, respectively
    • CDX IG traded notional and trade count increased by 68% and 77%, respectively
    • iTraxx Europe traded notional and trade count increased by 74% 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