ISDA has expanded its SwapsInfo website to include interest rate derivatives trading activity reported in the EU and UK. The new data is based on transactions publicly reported by 30 European approved publication arrangements and trading venues.

Check out the latest ISDA Margin Survey Year-End 2021 and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: February 2022.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 37% and 50%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 1% and 18%, respectively
    • FRA traded notional decreased by 18%, while trade count increased by 1%
    • OIS traded notional and trade count increased by 312% and 365%, respectively
  • 77% of total traded notional was cleared vs. 79% last year
  • 64% of total traded notional was executed on SEFs vs. 77% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 28% and 15%, respectively
    • Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 17%
    • FRA traded notional and trade count decreased by 49% and 43%, respectively
    • OIS traded notional and trade count increased by 253% and 365%, respectively
  • 75% of total traded notional was cleared, flat compared with last year
  • 58% of total traded notional was executed on SEFs vs. 70% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 20, 2022

  • SOFR traded notional totaled $928.6 billion, including $114.9 billion of basis swaps. Trade count totaled 11.6 thousand, including 1.2 thousand basis swaps
  • SONIA traded notional totaled $477.2 billion, including $8.4 billion of basis swaps. Trade count totaled 2.5 thousand, including 116 basis swaps
  • SARON traded notional totaled $14.1 billion, including $0.8 billion of basis swaps. Trade count totaled 322, including 9 basis swaps
  • TONA traded notional totaled $76.5 billion, including $21.5 billion of basis swaps. Trade count totaled 1.2 thousand, including 289 basis swaps
  • €STR traded notional totaled $757.3 billion, including $25.3 billion of basis swaps. Trade count totaled 2.0 thousand, including 248 basis swaps

YTD Ending May 20, 2022

  • SOFR traded notional totaled $19.7 trillion, including $3.0 trillion of basis swaps. Trade count totaled 219.9 thousand, including 21.8 thousand basis swaps
  • SONIA traded notional totaled $8.6 trillion, including $232.5 billion of basis swaps. Trade count totaled 51.3 thousand, including 2.0 thousand basis swaps
  • SARON traded notional totaled $273.0 billion, including $27.8 billion of basis swaps. Trade count totaled 6.0 thousand, including 292 basis swaps
  • TONA traded notional totaled $1.3 trillion, including $280.1 billion of basis swaps. Trade count totaled 17.6 thousand, including 3.3 thousand basis swaps
  • €STR traded notional totaled $12.6 trillion, including $646.0 billion of basis swaps. Trade count totaled 32.7 thousand, including 5.2 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 60% and 77%, respectively
    • CDX HY traded notional and trade count increased by 84% and 85%, respectively
    • CDX IG traded notional and trade count increased by 88% and 103%, respectively
    • iTraxx Europe traded notional and trade count increased by 38% and 76%, respectively
  • 82% of total traded notional was cleared vs. 78% last year
  • 80% of total traded notional was executed on SEFs vs. 78% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 72% and 70%, respectively
    • CDX HY traded notional and trade count increased by 67% and 71%, respectively
    • CDX IG traded notional and trade count increased by 61% and 59%, respectively
    • iTraxx Europe traded notional and trade count increased by 98% and 94%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 81% of total traded notional was executed on SEFs, flat compared with last year