Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 36% and 27%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 66% and 7%, respectively
- FRAs traded notional and trade count decreased by 49% and 44%, respectively
- OIS traded notional and trade count increased by 239% and 425%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 64% of total traded notional was executed on SEFs vs. 69% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 22% and 21%, respectively
- Fixed-for-floating IRS traded notional increased by 39%, while trade count decreased by 14%
- FRAs traded notional and trade count decreased by 49% and 43%, respectively
- OIS traded notional and trade count increased by 133% and 379%, respectively
- 72% of total traded notional was cleared vs. 78% last year
- 61% of total traded notional was executed on SEFs vs. 72% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 21, 2022
- SOFR traded notional totaled $809.7 billion, including $153.8 billion of basis swaps. Trade count totaled 8.2 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $493.5 billion, including $10.5 billion of basis swaps. Trade count totaled 2.2 thousand, including 88 basis swaps
- SARON traded notional totaled $9.4 billion, including $1.5 billion of basis swaps. Trade count totaled 181, including 20 basis swaps
- TONA traded notional totaled $55.3 billion, including $10.6 billion of basis swaps. Trade count totaled 804, including 156 basis swaps
- €STR traded notional totaled $324.2 billion, including $41.4 billion of basis swaps. Trade count totaled 1.2 thousand, including 326 basis swaps
YTD Ending January 21, 2022
- SOFR traded notional totaled $2.5 trillion, including $533.4 billion of basis swaps. Trade count totaled 26.8 thousand, including 3.4 thousand basis swaps
- SONIA traded notional totaled $1.2 trillion, including $45.7 billion of basis swaps. Trade count totaled 7.2 thousand, including 327 basis swaps
- SARON traded notional totaled $40.5 billion, including $6.8 billion of basis swaps. Trade count totaled 808, including 61 basis swaps
- TONA traded notional totaled $166.0 billion, including $29.4 billion of basis swaps. Trade count totaled 2.4 thousand, including 389 basis swaps
- €STR traded notional totaled $764.7 billion, including $113.8 billion of basis swaps. Trade count totaled 3.6 thousand, including 860 basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 95% and 70%, respectively
- CDX HY traded notional and trade count increased by 91% and 80%, respectively
- CDX IG traded notional and trade count increased by 77% and 56%, respectively
- iTraxx Europe traded notional and trade count increased by 152% and 93%, respectively
- 79% of total traded notional was cleared vs. 75% last year
- 77% of total traded notional was executed on SEFs vs. 74% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 57% and 34%, respectively
- CDX HY traded notional and trade count increased by 60% and 43%, respectively
- CDX IG traded notional and trade count increased by 53% and 28%, respectively
- iTraxx Europe traded notional and trade count increased by 89% and 57%, respectively
- 78% of total traded notional was cleared vs. 76% last year
- 78% of total traded notional was executed on SEFs vs. 76% last year