Check out the latest SwapsInfo Third Quarter of 2022 and Year-to-September 30, 2022 Review and Transition to RFRs Review: Third Quarter of 2022 and Year-to-September 30, 2022.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 7% and 2%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 38% and 30%, respectively
- FRA traded notional and trade count increased by 36% and 67%, respectively
- OIS traded notional and trade count increased by 50% and 80%, respectively
- 72% of total traded notional was cleared vs. 77% last year
- 54% of total traded notional was executed on SEFs vs. 58% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 27% and 20%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 8% and 16%, respectively
- FRA traded notional and trade count decreased by 35% and 25%, respectively
- OIS traded notional and trade count increased by 165% and 258%, respectively
- 74% 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 4, 2022
- SOFR traded notional totaled $1.1 trillion, including $127.6 billion of basis swaps. Trade count totaled 13.0 thousand, including 804 basis swaps
- SONIA traded notional totaled $965.0 billion, including $12.6 billion of basis swaps. Trade count totaled 4.1 thousand, including 95 basis swaps
- SARON traded notional totaled $21.2 billion, including $2.5 billion of basis swaps. Trade count totaled 342, including 22 basis swaps
- TONA traded notional totaled $38.6 billion, including $11.5 billion of basis swaps. Trade count totaled 830, including 151 basis swaps
- €STR traded notional totaled $664.4 billion, including $29.5 billion of basis swaps. Trade count totaled 1.5 thousand, including 185 basis swaps
YTD Ending November 4, 2022
- SOFR traded notional totaled $45.7 trillion, including $6.1 trillion of basis swaps. Trade count totaled 518.6 thousand, including 46.0 thousand basis swaps
- SONIA traded notional totaled $21.0 trillion, including $524.1 billion of basis swaps. Trade count totaled 128.5 thousand, including 5.2 thousand basis swaps
- SARON traded notional totaled $802.6 billion, including $57.9 billion of basis swaps. Trade count totaled 15.4 thousand, including 560 basis swaps
- TONA traded notional totaled $2.8 trillion, including $667.5 billion of basis swaps. Trade count totaled 42.5 thousand, including 8.4 thousand basis swaps
- €STR traded notional totaled $28.3 trillion, including $1.4 trillion of basis swaps. Trade count totaled 77.9 thousand, including 11.1 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 24% and 57%, respectively
- CDX HY traded notional and trade count increased by 33% and 84%, respectively
- CDX IG traded notional and trade count increased by 43% and 101%, respectively
- iTraxx Europe traded notional and trade count increased by 27% and 56%, respectively
- 84% of total traded notional was cleared vs. 82% with last year
- 83% of total traded notional was executed on SEFs vs. 81% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 62% and 75%, 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 73% and 93%, 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