Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 7% and 36%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 20% and 5%, respectively
    • FRA traded notional and trade count increased by 61% and 73%, respectively
    • OIS traded notional and trade count increased by 16% and 179%, respectively
  • 76% of total traded notional was cleared vs. 75% last year
  • 63% 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 31% and 21%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 4% and 15%, respectively
    • FRA traded notional and trade count decreased by 39% and 30%, respectively
    • OIS traded notional and trade count increased by 210% and 295%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 58% of total traded notional was executed on SEFs vs. 68% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 7, 2022

  • SOFR traded notional totaled $1.2 trillion, including $189.4 billion of basis swaps. Trade count totaled 13.3 thousand, including 1.4 thousand basis swaps
  • SONIA traded notional totaled $403.0 billion, including $23.1 billion of basis swaps. Trade count totaled 4.5 thousand, including 264 basis swaps
  • SARON traded notional totaled $20.5 billion, including $0.6 billion of basis swaps. Trade count totaled 543, including 8 basis swaps
  • TONA traded notional totaled $62.6 billion, including $26.9 billion of basis swaps. Trade count totaled 1.1 thousand, including 290 basis swaps
  • €STR traded notional totaled $473.4 billion, including $41.5 billion of basis swaps. Trade count totaled 2.0 thousand, including 417 basis swaps

YTD Ending October 7, 2022

  • SOFR traded notional totaled $41.3 trillion, including $5.5 trillion of basis swaps. Trade count totaled 466.0 thousand, including 41.4 thousand basis swaps
  • SONIA traded notional totaled $18.0 trillion, including $456.6 billion of basis swaps. Trade count totaled 111.2 thousand, including 4.4 thousand basis swaps
  • SARON traded notional totaled $734.8 billion, including $52.0 billion of basis swaps. Trade count totaled 14.0 thousand, including 500 basis swaps
  • TONA traded notional totaled $2.6 trillion, including $595.0 billion of basis swaps. Trade count totaled 38.3 thousand, including 7.4 thousand basis swaps
  • €STR traded notional totaled $26.0 trillion, including $1.3 trillion of basis swaps. Trade count totaled 70.7 thousand, including 10.1 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 22% and 31%, respectively
    • CDX HY traded notional and trade count increased by 26% and 44%, respectively
    • CDX IG traded notional and trade count increased by 52% and 72%, respectively
    • iTraxx Europe traded notional and trade count increased by 15% and 44%, respectively
  • 85% of total traded notional was cleared vs. 82% with last year
  • 84% of total traded notional was executed on SEFs vs. 82% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 69% and 78%, respectively
    • CDX HY traded notional and trade count increased by 69% and 84%, respectively
    • CDX IG traded notional and trade count increased by 70% and 76%, respectively
    • iTraxx Europe traded notional and trade count increased by 84% and 99%, respectively
  • 84% of total traded notional was cleared vs. 81% last year
  • 83% of total traded notional was executed on SEFs vs. 80% last year