Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional increased by 38%, while trade count decreased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 17% and 32%, respectively
- FRAs traded notional and trade count decreased by 21% and 31%, respectively
- OIS traded notional and trade count increased by 293% and 328%, respectively
- 75% of total traded notional was cleared vs. 71% last year
- 56% 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 20% and 4%, respectively
- Fixed-for-floating IRS traded notional increased by 9%, while trade count decreased by 25%
- FRAs traded notional and trade count decreased by 59% and 54%, respectively
- OIS traded notional and trade count increased by 212% and 345%, respectively
- 74% of total traded notional was cleared vs. 75% last year
- 57% of total traded notional was executed on SEFs vs. 68% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 18, 2022
- SOFR traded notional totaled $1.1 trillion, including $178.1 billion of basis swaps. Trade count totaled 12.0 thousand, including 1.2 thousand basis swaps
- SONIA traded notional totaled $566.1 billion, including $11.8 billion of basis swaps. Trade count totaled 2.9 thousand, including 105 basis swaps
- SARON traded notional totaled $25.3 billion, including $3.8 billion of basis swaps. Trade count totaled 517, including 29 basis swaps
- TONA traded notional totaled $58.6 billion, including $24.8 billion of basis swaps. Trade count totaled 677, including 197 basis swaps
- €STR traded notional totaled $639.8 billion, including $32.2 billion of basis swaps. Trade count totaled 1.8 thousand, including 280 basis swaps
YTD Ending March 18, 2022
- SOFR traded notional totaled $10.8 trillion, including $1.8 trillion of basis swaps. Trade count totaled 115.5 thousand, including 12.6 thousand basis swaps
- SONIA traded notional totaled $5.5 trillion, including $143.8 billion of basis swaps. Trade count totaled 30.7 thousand, including 1.2 thousand basis swaps
- SARON traded notional totaled $164.6 billion, including $18.6 billion of basis swaps. Trade count totaled 3.5 thousand, including 176 basis swaps
- TONA traded notional totaled $665.0 billion, including $146.8 billion of basis swaps. Trade count totaled 8.9 thousand, including 1.7 thousand basis swaps
- €STR traded notional totaled $6.1 trillion, including $423.1 billion of basis swaps. Trade count totaled 17.9 thousand, including 3.2 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 69% and 74%, respectively
- CDX HY traded notional and trade count increased by 48% and 62%, respectively
- CDX IG traded notional and trade count increased by 66% and 70%, respectively
- iTraxx Europe traded notional and trade count increased by 94% and 96%, respectively
- 81% of total traded notional was cleared, flat compared with last year
- 78% 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 82% and 68%, respectively
- CDX HY traded notional and trade count increased by 71% and 66%, respectively
- CDX IG traded notional and trade count increased by 65% and 51%, respectively
- iTraxx Europe traded notional and trade count increased by 126% and 101%, respectively
- 82% of total traded notional was cleared vs. 80% last year
- 81% of total traded notional was executed on SEFs vs. 80% last year