Check out the latest Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2022 and Insights into Global OTC IRD Markets Based on the 2022 BIS Triennial Central Bank Survey.

 

Interest Rate Derivatives

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 26% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 9% and 16%, respectively
    • FRA traded notional and trade count decreased by 31% and 21%, respectively
    • OIS traded notional and trade count increased by 146% and 225%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 59% of total traded notional was executed on SEFs vs. 66% last year

 

2022 Current Week vs. 2021 Current Week

 

Interest Rate Derivatives: Benchmark Data

YTD Ending December 9, 2022

  • SOFR traded notional totaled $51.6 trillion, including $6.8 trillion of basis swaps. Trade count totaled 584.8 thousand, including 50.9 thousand basis swaps
  • SONIA traded notional totaled $22.8 trillion, including $585.9 billion of basis swaps. Trade count totaled 145.2 thousand, including 5.8 thousand basis swaps
  • SARON traded notional totaled $917.0 billion, including $74.1 billion of basis swaps. Trade count totaled 17.5 thousand, including 686 basis swaps
  • TONA traded notional totaled $3.2 trillion, including $769.9 billion of basis swaps. Trade count totaled 48.1 thousand, including 9.6 thousand basis swaps
  • €STR traded notional totaled $32.1 trillion, including $1.5 trillion of basis swaps. Trade count totaled 87.2 thousand, including 12.1 thousand basis swaps

Click here to view RFR data by product and tenor and RFR historical data

 

Credit Derivatives Reported under CFTC Regulation

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 52% and 65%, respectively
    • CDX HY traded notional and trade count increased by 56% and 72%, respectively
    • CDX IG traded notional and trade count increased by 59% and 70%, respectively
    • iTraxx Europe traded notional and trade count increased by 58% and 78%, 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

 

2022 Current Week vs. 2021 Current Week

 

Credit Derivatives Reported under SEC Regulation

SEC data is currently not available due to the changes in data reporting fields as the result of the CFTC Rewrite that went live on December 5th, 2022.