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.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 24% and 33%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 7% and 3%, respectively
    • FRA traded notional and trade count decreased by 51% and 39%, respectively
    • OIS traded notional and trade count increased by 238% and 355%, respectively
  • 75% of total traded notional was cleared, flat compared with last year
  • 60% of total traded notional was executed on SEFs vs. 70% last year

 

2022 YTD vs. 2021 YTD

  • Total IRD traded notional and trade count increased by 28% and 16%, respectively
    • Fixed-for-floating IRS traded notional increased by 4%, while trade count decreased by 16%
    • FRA traded notional and trade count decreased by 49% and 43%, respectively
    • OIS traded notional and trade count increased by 252% and 364%, 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 27, 2022

  • SOFR traded notional totaled $1.2 trillion, including $146.6 billion of basis swaps. Trade count totaled 12.8 thousand, including 1.0 thousand basis swaps
  • SONIA traded notional totaled $585.1 billion, including $11.0 billion of basis swaps. Trade count totaled 3.7 thousand, including 99 basis swaps
  • SARON traded notional totaled $31.3 billion, including $0.2 billion of basis swaps. Trade count totaled 365, including 4 basis swaps
  • TONA traded notional totaled $69.4 billion, including $13.1 billion of basis swaps. Trade count totaled 1,029, including 216 basis swaps
  • €STR traded notional totaled $664.3 billion, including $26.6 billion of basis swaps. Trade count totaled 2.1 thousand, including 236 basis swaps

YTD Ending May 27, 2022

  • SOFR traded notional totaled $20.9 trillion, including $3.1 trillion of basis swaps. Trade count totaled 232.8 thousand, including 23.0 thousand basis swaps
  • SONIA traded notional totaled $9.2 trillion, including $246.7 billion of basis swaps. Trade count totaled 55.0 thousand, including 2.1 thousand basis swaps
  • SARON traded notional totaled $304.3 billion, including $28.0 billion of basis swaps. Trade count totaled 6.4 thousand, including 296 basis swaps
  • TONA traded notional totaled $1.3 trillion, including $293.1 billion of basis swaps. Trade count totaled 18.7 thousand, including 3.5 thousand basis swaps
  • €STR traded notional totaled $13.2 trillion, including $674.2 billion of basis swaps. Trade count totaled 34.8 thousand, including 5.5 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 146% and 170%, respectively
    • CDX HY traded notional and trade count increased by 267% and 245%, respectively
    • CDX IG traded notional and trade count increased by 168% and 181%, respectively
    • iTraxx Europe traded notional and trade count increased by 140% and 167%, respectively
  • 85% of total traded notional was cleared vs. 76% last year
  • 85% of total traded notional was executed on SEFs vs. 76% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 74% and 73%, respectively
    • CDX HY traded notional and trade count increased by 71% and 76%, respectively
    • CDX IG traded notional and trade count increased by 64% and 63%, respectively
    • iTraxx Europe traded notional and trade count increased by 100% and 96%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 82% of total traded notional was executed on SEFs vs. 81% last year