Check out the latest ISDA-Clarus RFR Adoption Indicator: October 2022 and SwapsInfo Third Quarter of 2022 and Year-to-September 30, 2022 Review.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 0.1% and 7%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 30% and 24%, respectively
- FRA traded notional and trade count increased by 9% and 37%, respectively
- OIS traded notional and trade count increased by 25% and 83%, respectively
- 77% of total traded notional was cleared vs. 78% last year
- 62% 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 26% and 19%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 8% and 16%, respectively
- FRA traded notional and trade count decreased by 34% and 24%, respectively
- OIS traded notional and trade count increased by 159% and 250%, respectively
- 75% of total traded notional was cleared vs. 76% last year
- 58% of total traded notional was executed on SEFs vs. 67% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 11, 2022
- SOFR traded notional totaled $1.1 trillion, including $121.5 billion of basis swaps. Trade count totaled 12.1 thousand, including 946 basis swaps
- SONIA traded notional totaled $369.2 billion, including $8.8 billion of basis swaps. Trade count totaled 3.7 thousand, including 93 basis swaps
- SARON traded notional totaled $16.6 billion, including $3.8 billion of basis swaps. Trade count totaled 363, including 25 basis swaps
- TONA traded notional totaled $60.6 billion, including $19.8 billion of basis swaps. Trade count totaled 1.0 thousand, including 205 basis swaps
- €STR traded notional totaled $692.9 billion, including $24.6 billion of basis swaps. Trade count totaled 1.7 thousand, including 234 basis swaps
YTD Ending November 11, 2022
- SOFR traded notional totaled $46.8 trillion, including $6.3 trillion of basis swaps. Trade count totaled 530.7 thousand, including 46.9 thousand basis swaps
- SONIA traded notional totaled $21.3 trillion, including $532.9 billion of basis swaps. Trade count totaled 132.1 thousand, including 5.3 thousand basis swaps
- SARON traded notional totaled $819.1 billion, including $61.7 billion of basis swaps. Trade count totaled 15.8 thousand, including 585 basis swaps
- TONA traded notional totaled $2.9 trillion, including $687.3 billion of basis swaps. Trade count totaled 43.6 thousand, including 8.6 thousand basis swaps
- €STR traded notional totaled $29.0 trillion, including $1.4 trillion of basis swaps. Trade count totaled 79.6 thousand, including 11.3 thousand basis swaps
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Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 38% and 54%, respectively
- CDX HY traded notional and trade count both increased by 50%
- CDX IG traded notional and trade count increased by 45% and 80%, respectively
- iTraxx Europe traded notional and trade count increased by 44% and 68%, respectively
- 84% of total traded notional was cleared vs. 80% with last year
- 83% of total traded notional was executed on SEFs vs. 79% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 62% and 74%, respectively
- CDX HY traded notional and trade count increased by 65% and 82%, respectively
- CDX IG traded notional and trade count increased by 67% and 77%, respectively
- iTraxx Europe traded notional and trade count increased by 72% and 92%, respectively
- 84% of total traded notional was cleared vs. 80% last year
- 83% of total traded notional was executed on SEFs vs. 80% last year