Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 83% and 65%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 10% and 13%, respectively
- FRAs traded notional increased by 5%, while trade count decreased by 5%
- OIS traded notional and trade count increased by 503% and 575%, respectively
- 77% of total traded notional was cleared vs. 75% last year
- 61% of total traded notional was executed on SEFs vs. 71% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 22% and 7%, respectively
- Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 23%
- FRAs traded notional and trade count decreased by 56% and 51%, respectively
- OIS traded notional and trade count increased by 225% and 358%, 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 April 1, 2022
- SOFR traded notional totaled $1.1 trillion, including $141.6 billion of basis swaps. Trade count totaled 12.6 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $267.3 billion, including $8.6 billion of basis swaps. Trade count totaled 2.6 thousand, including 92 basis swaps
- SARON traded notional totaled $11.9 billion, including $0.7 billion of basis swaps. Trade count totaled 316, including 10 basis swaps
- TONA traded notional totaled $88.1 billion, including $16.0 billion of basis swaps. Trade count totaled 1.3 thousand, including 207 basis swaps
- €STR traded notional totaled $853.1 billion, including $25.3 billion of basis swaps. Trade count totaled 1.9 thousand, including 228 basis swaps
YTD Ending April 1, 2022
- SOFR traded notional totaled $13.0 trillion, including $2.1 trillion of basis swaps. Trade count totaled 139.2 thousand, including 14.7 thousand basis swaps
- SONIA traded notional totaled $6.1 trillion, including $165.4 billion of basis swaps. Trade count totaled 35.6 thousand, including 1.4 thousand basis swaps
- SARON traded notional totaled $187.5 billion, including $19.9 billion of basis swaps. Trade count totaled 4.1 thousand, including 192 basis swaps
- TONA traded notional totaled $791.7 billion, including $173.5 billion of basis swaps. Trade count totaled 11.0 thousand, including 2.0 thousand basis swaps
- €STR traded notional totaled $7.4 trillion, including $467.7 billion of basis swaps. Trade count totaled 21.1 thousand, including 3.6 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 34% and 50%, respectively
- CDX HY traded notional and trade count increased by 18% and 39%, respectively
- CDX IG traded notional and trade count increased by 26% and 33%, respectively
- iTraxx Europe traded notional and trade count increased by 68% and 90%, respectively
- 86% of total traded notional was cleared vs. 85% last year
- 86% of total traded notional was executed on SEFs vs. 85% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 67% and 61%, respectively
- CDX HY traded notional and trade count increased by 57% and 62%, respectively
- CDX IG traded notional and trade count increased by 53% and 45%, respectively
- iTraxx Europe traded notional and trade count increased by 100% and 87%, respectively
- 83% of total traded notional was cleared vs. 82% last year
- 82% of total traded notional was executed on SEFs vs. 81% last year