Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 24% and 13%, respectively
- Fixed-for-floating IRS traded notional increased by 30%, while trade count decreased by 8%
- FRAs traded notional and trade count decreased by 70% and 49%, respectively
- OIS traded notional and trade count increased by 270% and 400%, respectively
- 77% of total traded notional was cleared, flat compared with last year
- 56% of total traded notional was executed on SEFs vs. 70% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 23% and 20%, respectively
- Fixed-for-floating IRS traded notional increased by 37%, while trade count decreased by 13%
- FRAs traded notional and trade count decreased by 54% and 45%, respectively
- OIS traded notional and trade count increased by 165% and 384%, respectively
- 73% of total traded notional was cleared vs. 78% last year
- 59% of total traded notional was executed on SEFs vs. 71% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 28, 2022
- SOFR traded notional totaled $881.5 billion, including $130.8 billion of basis swaps. Trade count totaled 9.7 thousand, including 1.0 thousand basis swaps
- SONIA traded notional totaled $356.4 billion, including $11.8 billion of basis swaps. Trade count totaled 2.2 thousand, including 106 basis swaps
- SARON traded notional totaled $5.9 billion, including $1.4 billion of basis swaps. Trade count totaled 182, including 16 basis swaps
- TONA traded notional totaled $53.9 billion, including $11.8 billion of basis swaps. Trade count totaled 762, including 149 basis swaps
- €STR traded notional totaled $333.2 billion, including $29.2 billion of basis swaps. Trade count totaled 940, including 218 basis swaps
YTD Ending January 28, 2022
- SOFR traded notional totaled $3.4 trillion, including $663.6 billion of basis swaps. Trade count totaled 36.5 thousand, including 4.4 thousand basis swaps
- SONIA traded notional totaled $1.6 trillion, including $57.5 billion of basis swaps. Trade count totaled 9.4 thousand, including 433 basis swaps
- SARON traded notional totaled $46.3 billion, including $8.2 billion of basis swaps. Trade count totaled 990, including 77 basis swaps
- TONA traded notional totaled $219.9 billion, including $41.2 billion of basis swaps. Trade count totaled 3.2 thousand, including 538 basis swaps
- €STR traded notional totaled $1.1 trillion, including $142.0 billion of basis swaps. Trade count totaled 4.6 thousand, including 1.1 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 104% and 78%, respectively
- CDX HY traded notional and trade count increased by 107% and 91%, respectively
- CDX IG traded notional and trade count increased by 88% and 65%, respectively
- iTraxx Europe traded notional and trade count increased by 141% and 94%, respectively
- 84% of total traded notional was cleared vs. 83% last year
- 83% of total traded notional was executed on SEFs vs. 82% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 72% and 48%, respectively
- CDX HY traded notional and trade count increased by 76% and 59%, respectively
- CDX IG traded notional and trade count increased by 65% and 40%, respectively
- iTraxx Europe traded notional and trade count increased by 105% and 68%, respectively
- 80% of total traded notional was cleared vs. 78% last year
- 80% of total traded notional was executed on SEFs vs. 78% last year