Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count decreased by 22% and 31%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 43% and 54%, respectively
- FRAs traded notional and trade count decreased by 73% and 66%, respectively
- OIS traded notional and trade count increased by 130% and 194%, respectively
- 74% of total traded notional was cleared vs. 71% last year
- 56% 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 18% and 6%, respectively
- Fixed-for-floating IRS traded notional increased by 18%, while trade count decreased by 23%
- FRAs traded notional and trade count decreased by 60% and 52%, respectively
- OIS traded notional and trade count increased by 194% and 340%, respectively
- 73% 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 February 25, 2022
- SOFR traded notional totaled $960.9 billion, including $127.2 billion of basis swaps. Trade count totaled 9.4 thousand, including 863 basis swaps
- SONIA traded notional totaled $477.5 billion, including $13.5 billion of basis swaps. Trade count totaled 3.2 thousand, including 108 basis swaps
- SARON traded notional totaled $15.4 billion, including $0.5 billion of basis swaps. Trade count totaled 376, including 7 basis swaps
- TONA traded notional totaled $48.4 billion, including $9.1 billion of basis swaps. Trade count totaled 640, including 98 basis swaps
- €STR traded notional totaled $710.4 billion, including $31.6 billion of basis swaps. Trade count totaled 1.6 thousand, including 196 basis swaps
YTD Ending February 25, 2022
- SOFR traded notional totaled $7.2 trillion, including $1.2 trillion of basis swaps. Trade count totaled 75.9 thousand, including 8.4 thousand basis swaps
- SONIA traded notional totaled $3.8 trillion, including $106.8 billion of basis swaps. Trade count totaled 21.2 thousand, including 822 basis swaps
- SARON traded notional totaled $107.5 billion, including $10.9 billion of basis swaps. Trade count totaled 2.2 thousand, including 105 basis swaps
- TONA traded notional totaled $479.1 billion, including $91.6 billion of basis swaps. Trade count totaled 6.6 thousand, including 1.1 thousand basis swaps
- €STR traded notional totaled $3.9 trillion, including $295.8 billion of basis swaps. Trade count totaled 11.4 thousand, including 2.1 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 23% and 25%, respectively
- CDX HY traded notional decreased by 1%, while trade count increased by 4%
- CDX IG traded notional decreased by 2%, while trade count increased by 2%
- iTraxx Europe traded notional and trade count increased by 67% and 72%, respectively
- 85% of total traded notional was cleared vs. 84% last year
- 85% of total traded notional was executed on SEFs vs. 84% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 84% and 68%, respectively
- CDX HY traded notional and trade count increased by 81% and 73%, respectively
- CDX IG traded notional and trade count increased by 69% and 52%, respectively
- iTraxx Europe traded notional and trade count increased by 121% and 98%, respectively
- 82% of total traded notional was cleared vs. 80% last year
- 81% of total traded notional was executed on SEFs vs. 79% last year