Check out the latest ISDA-Clarus RFR Adoption Indicator: October 2022 and SwapsInfo Third Quarter of 2022 and Year-to-September 30, 2022 Review.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 0.1% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 30% and 24%, respectively
    • FRA traded notional and trade count increased by 9% and 37%, respectively
    • OIS traded notional and trade count increased by 25% and 83%, respectively
  • 77% of total traded notional was cleared vs. 78% last year
  • 62% of total traded notional was executed on SEFs vs. 66% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 26% and 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 8% and 16%, respectively
    • FRA traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional and trade count increased by 159% and 250%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 58% of total traded notional was executed on SEFs vs. 67% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending November 11, 2022

  • SOFR traded notional totaled $1.1 trillion, including $121.5 billion of basis swaps. Trade count totaled 12.1 thousand, including 946 basis swaps
  • SONIA traded notional totaled $369.2 billion, including $8.8 billion of basis swaps. Trade count totaled 3.7 thousand, including 93 basis swaps
  • SARON traded notional totaled $16.6 billion, including $3.8 billion of basis swaps. Trade count totaled 363, including 25 basis swaps
  • TONA traded notional totaled $60.6 billion, including $19.8 billion of basis swaps. Trade count totaled 1.0 thousand, including 205 basis swaps
  • €STR traded notional totaled $692.9 billion, including $24.6 billion of basis swaps. Trade count totaled 1.7 thousand, including 234 basis swaps

YTD Ending November 11, 2022

  • SOFR traded notional totaled $46.8 trillion, including $6.3 trillion of basis swaps. Trade count totaled 530.7 thousand, including 46.9 thousand basis swaps
  • SONIA traded notional totaled $21.3 trillion, including $532.9 billion of basis swaps. Trade count totaled 132.1 thousand, including 5.3 thousand basis swaps
  • SARON traded notional totaled $819.1 billion, including $61.7 billion of basis swaps. Trade count totaled 15.8 thousand, including 585 basis swaps
  • TONA traded notional totaled $2.9 trillion, including $687.3 billion of basis swaps. Trade count totaled 43.6 thousand, including 8.6 thousand basis swaps
  • €STR traded notional totaled $29.0 trillion, including $1.4 trillion of basis swaps. Trade count totaled 79.6 thousand, including 11.3 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 38% and 54%, respectively
    • CDX HY traded notional and trade count both increased by 50%
    • CDX IG traded notional and trade count increased by 45% and 80%, respectively
    • iTraxx Europe traded notional and trade count increased by 44% and 68%, 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 62% and 74%, respectively
    • CDX HY traded notional and trade count increased by 65% and 82%, respectively
    • CDX IG traded notional and trade count increased by 67% and 77%, respectively
    • iTraxx Europe traded notional and trade count increased by 72% and 92%, 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