Check out the latest SwapsInfo First Half of 2022 and the Second Quarter of 2022 Review and Transition to RFRs Review: First Half of 2022 and the Second Quarter of 2022.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 48% and 45%, respectively
- Fixed-for-floating IRS traded notional deceased by 13%, while trade count increased by 2%
- FRA traded notional and trade count decreased by 2% and 3%, respectively
- OIS traded notional and trade count increased by 204% and 275%, respectively
- 72% of total traded notional was cleared vs. 76% last year
- 59% 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 30% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 1% and 17%, respectively
- FRA traded notional and trade count decreased by 44% and 37%, respectively
- OIS traded notional and trade count increased by 245% and 340%, respectively
- 74% of total traded notional was cleared vs. 76% last year
- 58% of total traded notional was executed on SEFs vs. 69% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 5, 2022
- SOFR traded notional totaled $1.1 trillion, including $124.5 billion of basis swaps. Trade count totaled 12.9 thousand, including 893 basis swaps
- SONIA traded notional totaled $610.6 billion, including $8.4 billion of basis swaps. Trade count totaled 3.4 thousand, including 88 basis swaps
- SARON traded notional totaled $10.1 billion, including $0.3 billion of basis swaps. Trade count totaled 250, including 4 basis swaps
- TONA traded notional totaled $72.3 billion, including $13.0 billion of basis swaps. Trade count totaled 989, including 164 basis swaps
- €STR traded notional totaled $407.8 billion, including $23.1 billion of basis swaps. Trade count totaled 1.4 thousand, including 212 basis swaps
YTD Ending August 5, 2022
- SOFR traded notional totaled $31.1 trillion, including $4.3 trillion of basis swaps. Trade count totaled 350.9 thousand, including 32.2 thousand basis swaps
- SONIA traded notional totaled $13.8 trillion, including $333.0 billion of basis swaps. Trade count totaled 81.0 thousand, including 3.0 thousand basis swaps
- SARON traded notional totaled $513.8 billion, including $36.2 billion of basis swaps. Trade count totaled 10.2 thousand, including 375 basis swaps
- TONA traded notional totaled $2.0 trillion, including $446.8 billion of basis swaps. Trade count totaled 29.4 thousand, including 5.5 thousand basis swaps
- €STR traded notional totaled $20.0 trillion, including $969.6 billion of basis swaps. Trade count totaled 53.4 thousand, including 7.8 thousand basis swaps
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Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 62% and 90%, respectively
- CDX HY traded notional and trade count increased by 48% and 73%, respectively
- CDX IG traded notional and trade count increased by 82% and 98%, respectively
- iTraxx Europe traded notional and trade count increased by 59% and 110%, 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
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 77% and 80%, respectively
- CDX HY traded notional and trade count increased by 80% and 85%, respectively
- CDX IG traded notional and trade count increased by 72% and 73%, respectively
- iTraxx Europe traded notional and trade count increased by 97% and 104%, respectively
- 83% of total traded notional was cleared vs. 80% last year
- 82% of total traded notional was executed on SEFs vs. 80% last year