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

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 7% and 2%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 38% and 30%, respectively
    • FRA traded notional and trade count increased by 36% and 67%, respectively
    • OIS traded notional and trade count increased by 50% and 80%, respectively
  • 72% of total traded notional was cleared vs. 77% last year
  • 54% of total traded notional was executed on SEFs vs. 58% 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 8% and 16%, respectively
    • FRA traded notional and trade count decreased by 35% and 25%, respectively
    • OIS traded notional and trade count increased by 165% and 258%, respectively
  • 74% 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 4, 2022

  • SOFR traded notional totaled $1.1 trillion, including $127.6 billion of basis swaps. Trade count totaled 13.0 thousand, including 804 basis swaps
  • SONIA traded notional totaled $965.0 billion, including $12.6 billion of basis swaps. Trade count totaled 4.1 thousand, including 95 basis swaps
  • SARON traded notional totaled $21.2 billion, including $2.5 billion of basis swaps. Trade count totaled 342, including 22 basis swaps
  • TONA traded notional totaled $38.6 billion, including $11.5 billion of basis swaps. Trade count totaled 830, including 151 basis swaps
  • €STR traded notional totaled $664.4 billion, including $29.5 billion of basis swaps. Trade count totaled 1.5 thousand, including 185 basis swaps

YTD Ending November 4, 2022

  • SOFR traded notional totaled $45.7 trillion, including $6.1 trillion of basis swaps. Trade count totaled 518.6 thousand, including 46.0 thousand basis swaps
  • SONIA traded notional totaled $21.0 trillion, including $524.1 billion of basis swaps. Trade count totaled 128.5 thousand, including 5.2 thousand basis swaps
  • SARON traded notional totaled $802.6 billion, including $57.9 billion of basis swaps. Trade count totaled 15.4 thousand, including 560 basis swaps
  • TONA traded notional totaled $2.8 trillion, including $667.5 billion of basis swaps. Trade count totaled 42.5 thousand, including 8.4 thousand basis swaps
  • €STR traded notional totaled $28.3 trillion, including $1.4 trillion of basis swaps. Trade count totaled 77.9 thousand, including 11.1 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 24% and 57%, respectively
    • CDX HY traded notional and trade count increased by 33% and 84%, respectively
    • CDX IG traded notional and trade count increased by 43% and 101%, respectively
    • iTraxx Europe traded notional and trade count increased by 27% and 56%, respectively
  • 84% of total traded notional was cleared vs. 82% with last year
  • 83% of total traded notional was executed on SEFs vs. 81% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 62% and 75%, 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 73% and 93%, 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