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 62% and 29%, respectively
- Fixed-for-floating IRS traded notional increased by 16%, while trade count decreased by 16%
- FRA traded notional and trade count decreased by 34% and 40%, respectively
- OIS traded notional and trade count increased by 208% and 295%, respectively
- 76% of total traded notional was cleared vs. 75% last year
- 64% of total traded notional was executed on SEFs vs. 67% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 29% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 1% and 17%, respectively
- FRA traded notional and trade count decreased by 48% and 42%, respectively
- OIS traded notional and trade count increased by 258% and 358%, respectively
- 74% of total traded notional was cleared vs. 76% last year
- 58% of total traded notional was executed on SEFs vs. 70% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 1, 2022
- SOFR traded notional totaled $953.0 billion, including $94.5 billion of basis swaps. Trade count totaled 11.4 thousand, including 905 basis swaps
- SONIA traded notional totaled $425.4 billion, including $7.1 billion of basis swaps. Trade count totaled 2.4 thousand, including 68 basis swaps
- SARON traded notional totaled $26.3 billion, including $0.7 billion of basis swaps. Trade count totaled 436, including 10 basis swaps
- TONA traded notional totaled $56.0 billion, including $16.9 billion of basis swaps. Trade count totaled 1.1 thousand, including 292 basis swaps
- €STR traded notional totaled $800.9 billion, including $40.9 billion of basis swaps. Trade count totaled 1.9 thousand, including 205 basis swaps
YTD Ending July 1, 2022
- SOFR traded notional totaled $25.9 trillion, including $3.7 trillion of basis swaps. Trade count totaled 292.4 thousand, including 27.6 thousand basis swaps
- SONIA traded notional totaled $11.9 trillion, including $286.2 billion of basis swaps. Trade count totaled 68.4 thousand, including 2.5 thousand basis swaps
- SARON traded notional totaled $453.4 billion, including $33.4 billion of basis swaps. Trade count totaled 8.7 thousand, including 348 basis swaps
- TONA traded notional totaled $1.7 trillion, including $379.0 billion of basis swaps. Trade count totaled 24.7 thousand, including 4.6 thousand basis swaps
- €STR traded notional totaled $17.4 trillion, including $854.5 billion of basis swaps. Trade count totaled 45.2 thousand, including 6.7 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 159% and 174%, respectively
- CDX HY traded notional and trade count increased by 189% and 204%, respectively
- CDX IG traded notional and trade count increased by 165% and 171%, respectively
- iTraxx Europe traded notional and trade count increased by 179% and 203%, respectively
- 86% of total traded notional was cleared vs. 79% last year
- 85% of total traded notional was executed on SEFs vs. 78% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 79% and 81%, 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 103% 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