Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 7% and 32%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 42% and 16%, respectively
    • FRA traded notional and trade count decreased by 66% and 51%, respectively
    • OIS traded notional and trade count increased by 115% and 224%, respectively
  • 73% of total traded notional was cleared vs. 77% last year
  • 58% of total traded notional was executed on SEFs vs. 61% 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 40% and 31%, respectively
    • OIS traded notional and trade count increased by 222% and 300%, 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 September 30, 2022

  • SOFR traded notional totaled $1.6 trillion, including $208.6 billion of basis swaps. Trade count totaled 17.0 thousand, including 1.5 thousand basis swaps
  • SONIA traded notional totaled $703.2 billion, including $27.5 billion of basis swaps. Trade count totaled 5.7 thousand, including 336 basis swaps
  • SARON traded notional totaled $22.8 billion, including $3.3 billion of basis swaps. Trade count totaled 577, including 15 basis swaps
  • TONA traded notional totaled $71.3 billion, including $15.0 billion of basis swaps. Trade count totaled 1.2 thousand, including 235 basis swaps
  • €STR traded notional totaled $666.4 billion, including $23.8 billion of basis swaps. Trade count totaled 2.4 thousand, including 330 basis swaps

YTD Ending September 30, 2022

  • SOFR traded notional totaled $40.1 trillion, including $5.3 trillion of basis swaps. Trade count totaled 452.7 thousand, including 40.0 thousand basis swaps
  • SONIA traded notional totaled $17.6 trillion, including $434.0 billion of basis swaps. Trade count totaled 106.7 thousand, including 4.1 thousand basis swaps
  • SARON traded notional totaled $714.3 billion, including $51.3 billion of basis swaps. Trade count totaled 13.5 thousand, including 492 basis swaps
  • TONA traded notional totaled $2.5 trillion, including $567.8 billion of basis swaps. Trade count totaled 37.2 thousand, including 7.1 thousand basis swaps
  • €STR traded notional totaled $25.5 trillion, including $1.2 trillion of basis swaps. Trade count totaled 68.7 thousand, including 9.7 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 33% and 54%, respectively
    • CDX HY traded notional and trade count increased by 5% and 39%, respectively
    • CDX IG traded notional and trade count increased by 78% and 94%, respectively
    • iTraxx Europe traded notional and trade count increased by 33% and 64%, respectively
  • 87% of total traded notional was cleared, flat compared with last year
  • 86% of total traded notional was executed on SEFs vs. 87% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 71% and 80%, respectively
    • CDX HY traded notional and trade count increased by 71% and 85%, respectively
    • CDX IG traded notional and trade count increased by 70% and 76%, respectively
    • iTraxx Europe traded notional and trade count increased by 87% and 101%, 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