Check out the latest Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2022.
Interest Rate Derivatives
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 27% and 21%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 10% and 15%, respectively
- FRA traded notional and trade count decreased by 29% and 19%, respectively
- OIS traded notional and trade count increased by 145% and 218%, respectively
- 75% of total traded notional was cleared, flat compared with last year
- 58% of total traded notional was executed on SEFs vs. 65% last year
2022 Current Week vs. 2021 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending December 30, 2022
- SOFR traded notional totaled $54.4 trillion, including $7.1 trillion of basis swaps. Trade count totaled 618.2 thousand, including 53.3 thousand basis swaps
- SONIA traded notional totaled $23.8 trillion, including $609.8 billion of basis swaps. Trade count totaled 152.6 thousand, including 6.1 thousand basis swaps
- SARON traded notional totaled $975.4 billion, including $78.3 billion of basis swaps. Trade count totaled 18.4 thousand, including 721 basis swaps
- TONA traded notional totaled $3.5 trillion, including $802.9 billion of basis swaps. Trade count totaled 52.8 thousand, including 10.1 thousand basis swaps
- €STR traded notional totaled $34.1 trillion, including $1.6 trillion of basis swaps. Trade count totaled 90.8 thousand, including 12.6 thousand basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulation
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 51% and 63%, respectively
- CDX HY traded notional and trade count increased by 55% and 71%, respectively
- CDX IG traded notional and trade count increased by 57% and 68%, respectively
- iTraxx Europe traded notional and trade count increased by 57% and 77%, respectively
- 84% of total traded notional was cleared vs. 81% last year
- 83% of total traded notional was executed on SEFs vs. 80% last year
2022 Current Week vs. 2021 Current Week
Credit Derivatives Reported under SEC Regulation
SEC data is currently not available due to the changes in data reporting fields as the result of the CFTC Rewrite that went live on December 5, 2022.