Check out the latest Demystifying Derivatives Trading in the EU and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2022.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 20% and 8%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 23% and 28%, respectively
- FRA traded notional and trade count decreased by 19% and 22%, respectively
- OIS traded notional and trade count increased by 164% and 270%, respectively
- 74% of total traded notional was cleared, flat compared with last year
- 58% of total traded notional was executed on SEFs vs. 64% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 29% and 16%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 1% and 17%, respectively
- FRA traded notional and trade count decreased by 47% and 41%, respectively
- OIS traded notional and trade count increased by 255% and 355%, respectively
- 74% of total traded notional was cleared vs. 75% last year
- 58% of total traded notional was executed on SEFs vs. 69% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 8, 2022
- SOFR traded notional totaled $771.3 billion, including $104.0 billion of basis swaps. Trade count totaled 9.5 thousand, including 871 basis swaps
- SONIA traded notional totaled $362.5 billion, including $10.9 billion of basis swaps. Trade count totaled 2.4 thousand, including 100 basis swaps
- SARON traded notional totaled $15.2 billion, including $0.1 billion of basis swaps. Trade count totaled 375, including 3 basis swaps
- TONA traded notional totaled $60.4 billion, including $13.9 billion of basis swaps. Trade count totaled 816, including 221 basis swaps
- €STR traded notional totaled $414.1 billion, including $23.0 billion of basis swaps. Trade count totaled 1.5 thousand, including 243 basis swaps
YTD Ending July 8, 2022
- SOFR traded notional totaled $26.7 trillion, including $3.8 trillion of basis swaps. Trade count totaled 302.0 thousand, including 28.5 thousand basis swaps
- SONIA traded notional totaled $12.3 trillion, including $297.1 billion of basis swaps. Trade count totaled 70.8 thousand, including 2.6 thousand basis swaps
- SARON traded notional totaled $468.6 billion, including $33.6 billion of basis swaps. Trade count totaled 9.1 thousand, including 351 basis swaps
- TONA traded notional totaled $1.8 trillion, including $392.9 billion of basis swaps. Trade count totaled 25.5 thousand, including 4.8 thousand basis swaps
- €STR traded notional totaled $17.8 trillion, including $877.5 billion of basis swaps. Trade count totaled 46.7 thousand, including 6.9 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 63% and 69%, respectively
- CDX HY traded notional and trade count increased by 93% and 76%, respectively
- CDX IG traded notional and trade count increased by 89% and 97%, respectively
- iTraxx Europe traded notional and trade count increased by 47% and 79%, respectively
- 84% of total traded notional was cleared vs. 82% last year
- 84% 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 79% and 80%, respectively
- CDX HY traded notional and trade count increased by 82% and 86%, respectively
- CDX IG traded notional and trade count both increased by 72%
- iTraxx Europe traded notional and trade count increased by 101% and 103%, 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