Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 43% and 40%, respectively
- Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 4%
- FRA traded notional decreased by 16%, while trade count increased by 6%
- OIS traded notional and trade count increased by 171% and 231%, respectively
- 76% of total traded notional was cleared vs. 77% last year
- 61% of total traded notional was executed on SEFs vs. 66% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 31% and 19%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 1% and 16%, respectively
- FRA traded notional and trade count decreased by 41% and 32%, respectively
- OIS traded notional and trade count increased by 238% and 328%, respectively
- 75% of total traded notional was cleared vs. 76% last year
- 59% of total traded notional was executed on SEFs vs. 69% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 26, 2022
- SOFR traded notional totaled $1.2 trillion, including $99.7 billion of basis swaps. Trade count totaled 13.0 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $448.8 billion, including $12.9 billion of basis swaps. Trade count totaled 3.3 thousand, including 179 basis swaps
- SARON traded notional totaled $17.3 billion, including $1.4 billion of basis swaps. Trade count totaled 308, including 10 basis swaps
- TONA traded notional totaled $61.1 billion, including $14.9 billion of basis swaps. Trade count totaled 871, including 221 basis swaps
- €STR traded notional totaled $585.7 billion, including $24.6 billion of basis swaps. Trade count totaled 1.6 thousand, including 233 basis swaps
YTD Ending August 26, 2022
- SOFR traded notional totaled $34.2 trillion, including $4.6 trillion of basis swaps. Trade count totaled 387.9 thousand, including 34.9 thousand basis swaps
- SONIA traded notional totaled $14.9 trillion, including $362.6 billion of basis swaps. Trade count totaled 89.0 thousand, including 3.4 thousand basis swaps
- SARON traded notional totaled $562.6 billion, including $38.6 billion of basis swaps. Trade count totaled 11.1 thousand, including 400 basis swaps
- TONA traded notional totaled $2.2 trillion, including $488.0 billion of basis swaps. Trade count totaled 31.7 thousand, including 6.0 thousand basis swaps
- €STR traded notional totaled $21.4 trillion, including $1.0 trillion of basis swaps. Trade count totaled 57.6 thousand, including 8.5 thousand basis swaps
Click Here to View Historical Benchmark Data
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 90% and 114%, respectively
- CDX HY traded notional and trade count increased by 105% and 113%, respectively
- CDX IG traded notional and trade count increased by 80% and 100%, respectively
- iTraxx Europe traded notional and trade count increased by 132% and 177%, respectively
- 82% of total traded notional was cleared vs. 80% last year
- 82% of total traded notional was executed on SEFs vs. 80% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 76% and 81%, respectively
- CDX HY traded notional and trade count increased by 78% and 85%, respectively
- CDX IG traded notional and trade count increased by 72% and 75%, respectively
- iTraxx Europe traded notional and trade count increased by 97% and 106%, respectively
- 83% of total traded notional was cleared vs. 80% last year
- 82% of total traded notional was executed on SEFs vs. 80% last year