Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 34% and 31%, respectively
- Fixed-for-floating IRS traded notional increased by 26%, while trade count decreased by 24%
- FRAs traded notional and trade count decreased by 38% and 41%, respectively
- OIS traded notional and trade count increased by 141% and 355%, respectively
- 66% of total traded notional was cleared vs. 80% last year
- 55% of total traded notional was executed on SEFs vs. 75% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 17% and 19%, respectively
- Fixed-for-floating IRS traded notional increased by 30%, while trade count decreased by 21%
- FRAs traded notional and trade count decreased by 50% and 43%, respectively
- OIS traded notional and trade count increased by 100% and 361%, respectively
- 70% of total traded notional was cleared vs. 79% last year
- 59% of total traded notional was executed on SEFs vs. 72% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 14, 2022
- SOFR traded notional totaled $847.4 billion, including $205.6 billion of basis swaps. Trade count totaled 9.2 thousand, including 1.2 thousand basis swaps
- SONIA traded notional totaled $386.8 billion, including $14.9 billion of basis swaps. Trade count totaled 2.2 thousand, including 103 basis swaps
- SARON traded notional totaled $16.7 billion, including $3.8 billion of basis swaps. Trade count totaled 311, including 28 basis swaps
- TONA traded notional totaled $59.5 billion, including $9.8 billion of basis swaps. Trade count totaled 813, including 121 basis swaps
- €STR traded notional totaled $216.3 billion, including $35.1 billion of basis swaps. Trade count totaled 1.1 thousand, including 279 basis swaps
YTD Ending January 14, 2022
- SOFR traded notional totaled $1.7 trillion, including $379.2 billion of basis swaps. Trade count totaled 18.6 thousand, including 2.2 thousand basis swaps
- SONIA traded notional totaled $750.4 billion, including $34.9 billion of basis swaps. Trade count totaled 5.0 thousand, including 237 basis swaps
- SARON traded notional totaled $31.1 billion, including $5.3 billion of basis swaps. Trade count totaled 628, including 41 basis swaps
- TONA traded notional totaled $110.6 billion, including $18.7 billion of basis swaps. Trade count totaled 1.6 thousand, including 232 basis swaps
- €STR traded notional totaled $440.4 billion, including $72.4 billion of basis swaps. Trade count totaled 2.4 thousand, including 534 basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 42% and 22%, respectively
- CDX HY traded notional and trade count increased by 48% and 35%, respectively
- CDX IG traded notional and trade count increased by 39% and 18%, respectively
- iTraxx Europe traded notional and trade count increased by 59% and 38%, respectively
- 78% of total traded notional was cleared, flat compared with last year
- 78% of total traded notional was executed on SEFs, flat compared with last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 40% and 19%, respectively
- CDX HY traded notional and trade count increased by 46% and 28%, respectively
- CDX IG traded notional and trade count increased by 42% and 15%, respectively
- iTraxx Europe traded notional and trade count increased by 59% and 39%, respectively
- 77% of total traded notional was cleared, flat compared with last year
- 78% of total traded notional was executed on SEFs vs. 76% last year