Check out the latest SwapsInfo First Half of 2022 and the Second Quarter of 2022 Review: Summary and ISDA-Clarus RFR Adoption Indicator: June 2022.

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

• Total IRD traded notional and trade count increased by 47% and 44%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 16% and 6%, respectively
  • FRA traded notional and trade count decreased by 36% and 40%, respectively
  • OIS traded notional and trade count increased by 211% and 319%, respectively
• 75% of total traded notional was cleared vs. 76% last year
• 59% 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 30% and 17%, respectively
  • Fixed-for-floating IRS traded notional and trade count decreased by 1% and 17%, respectively
  • FRA traded notional and trade count decreased by 45% and 37%, respectively
  • OIS traded notional and trade count increased by 247% and 343%, respectively
• 75% of total traded notional was cleared vs. 76% last year
• 58% of total traded notional was executed on SEFs vs. 69% last year

Interest Rate Derivatives: Benchmark Data

Week Ending July 29, 2022

• SOFR traded notional totaled $1.2 trillion, including $132.7 billion of basis swaps. Trade count totaled 13.4 thousand, including 934 basis swaps
• SONIA traded notional totaled $311.5 billion, including $8.4 billion of basis swaps. Trade count totaled 2.7 thousand, including 103 basis swaps
• SARON traded notional totaled $13.6 billion, including $0.8 billion of basis swaps. Trade count totaled 358, including 7 basis swaps
• TONA traded notional totaled $71.7 billion, including $20.0 billion of basis swaps. Trade count totaled 1.2 thousand, including 201 basis swaps
• €STR traded notional totaled $467.8 billion, including $22.8 billion of basis swaps. Trade count totaled 1.9 thousand, including 237 basis swaps

YTD Ending July 29, 2022

• SOFR traded notional totaled $30.0 trillion, including $4.2 trillion of basis swaps. Trade count totaled 338.1 thousand, including 31.3 thousand basis swaps
• SONIA traded notional totaled $13.2 trillion, including $324.6 billion of basis swaps. Trade count totaled 77.6 thousand, including 2.9 thousand basis swaps
• SARON traded notional totaled $503.6 billion, including $35.9 billion of basis swaps. Trade count totaled 10.0 thousand, including 371 basis swaps
• TONA traded notional totaled $2.0 trillion, including $433.8 billion of basis swaps. Trade count totaled 28.4 thousand, including 5.3 thousand basis swaps
• €STR traded notional totaled $19.6 trillion, including $946.5 billion of basis swaps. Trade count totaled 52.1 thousand, including 7.6 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 71% and 88%, respectively
  • CDX HY traded notional and trade count increased by 84% and 99%, respectively
  • CDX IG traded notional and trade count increased by 92% and 94%, respectively
  • iTraxx Europe traded notional and trade count increased by 100% and 146%, respectively
• 84% of total traded notional was cleared vs. 76% last year
• 83% of total traded notional was executed on SEFs vs. 75% last year

2022 YTD vs. 2021 YTD

• Total credit derivatives traded notional and trade count increased by 77% and 80%, respectively
  • CDX HY traded notional and trade count increased by 81% and 85%, respectively
  • CDX IG traded notional and trade count increased by 72% and 73%, respectively
  • iTraxx Europe traded notional and trade count increased by 98% and 104%, 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