Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional increased by 7%, while trade count decreased by 4%
- Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 24%
- FRAs traded notional and trade count decreased by 79% and 65%, respectively
- OIS traded notional and trade count increased by 202% and 286%, respectively
- 71% of total traded notional was cleared vs. 73% last year
- 51% of total traded notional was executed on SEFs vs. 67% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 20% and 15%, respectively
- Fixed-for-floating IRS traded notional increased by 31%, while trade count decreased by 15%
- FRAs traded notional and trade count decreased by 58% and 48%, respectively
- OIS traded notional and trade count increased by 173% and 361%, respectively
- 73% of total traded notional was cleared vs. 77% last year
- 58% of total traded notional was executed on SEFs vs. 70% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 4, 2022
- SOFR traded notional totaled $804.2 billion, including $118.7 billion of basis swaps. Trade count totaled 8.6 thousand, including 948 basis swaps
- SONIA traded notional totaled $578.2 billion, including $10.3 billion of basis swaps. Trade count totaled 2.5 thousand, including 74 basis swaps
- SARON traded notional totaled $18.0 billion, including $1.0 million of basis swaps. Trade count totaled 350, including 2 basis swaps
- TONA traded notional totaled $63.9 billion, including $14.6 billion of basis swaps. Trade count totaled 795, including 149 basis swaps
- €STR traded notional totaled $768.8 billion, including $34.5 billion of basis swaps. Trade count totaled 1.5 thousand, including 228 basis swaps
YTD Ending February 4, 2022
- SOFR traded notional totaled $4.2 trillion, including $780.3 billion of basis swaps. Trade count totaled 45.2 thousand, including 5.3 thousand basis swaps
- SONIA traded notional totaled $2.2 trillion, including $67.8 billion of basis swaps. Trade count totaled 11.9 thousand, including 507 basis swaps
- SARON traded notional totaled $64.3 billion, including $8.2 billion of basis swaps. Trade count totaled 1.3 thousand, including 79 basis swaps
- TONA traded notional totaled $282.6 billion, including $55.0 billion of basis swaps. Trade count totaled 4.0 thousand, including 684 basis swaps
- €STR traded notional totaled $1.9 trillion, including $176.5 billion of basis swaps. Trade count totaled 6.1 thousand, including 1.3 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 139% and 111%, respectively
- CDX HY traded notional and trade count both increased by 127%
- CDX IG traded notional and trade count increased by 114% and 76%, respectively
- iTraxx Europe traded notional and trade count increased by 231% and 179%, respectively
- 84% of total traded notional was cleared vs. 79% last year
- 83% of total traded notional was executed on SEFs vs. 78% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 85% and 61%, respectively
- CDX HY traded notional and trade count increased by 87% and 73%, respectively
- CDX IG traded notional and trade count increased by 76% and 48%, respectively
- iTraxx Europe traded notional and trade count increased by 129% and 89%, respectively
- 81% of total traded notional was cleared vs. 79% last year
- 81% of total traded notional was executed on SEFs vs. 78% last year