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-Clarus RFR Adoption Indicator: May 2022.

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

• Total IRD traded notional and trade count increased by 54% and 37%, respectively
  • Fixed-for-floating IRS traded notional and trade count decreased by 18% and 9%, respectively
  • FRA traded notional and trade count decreased by 29% and 1%, respectively
  • OIS traded notional and trade count increased by 437% and 416%, respectively
• 74% of total traded notional was cleared, vs. 77% last year
• 56% of total traded notional was executed on SEFs vs. 71% last year

2022 YTD vs. 2021 YTD

• Total IRD traded notional and trade count increased by 29% and 16%, respectively
  • Fixed-for-floating IRS traded notional increased by 2%, while trade count decreased by 16%
  • FRA traded notional and trade count decreased by 48% and 42%, respectively
  • OIS traded notional and trade count increased by 258% 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 June 10, 2022

• SOFR traded notional totaled $1.1 trillion, including $117.4 billion of basis swaps. Trade count totaled 13.4 thousand, including 1.1 thousand basis swaps
• SONIA traded notional totaled $501.7 billion, including $7.3 billion of basis swaps. Trade count totaled 3.0 thousand, including 75 basis swaps
• SARON traded notional totaled $42.6 billion, including $0.8 billion of basis swaps. Trade count totaled 485, including 8 basis swaps
• TONA traded notional totaled $93.7 billion, including $20.4 billion of basis swaps. Trade count totaled 1.3 thousand, including 227 basis swaps
• €STR traded notional totaled $1.3 trillion, including $36.6 billion of basis swaps. Trade count totaled 2.7 thousand, including 374 basis swaps

YTD Ending June 10, 2022

• SOFR traded notional totaled $22.7 trillion, including $3.4 trillion of basis swaps. Trade count totaled 254.8 thousand, including 24.8 thousand basis swaps
• SONIA traded notional totaled $9.9 trillion, including $260.2 billion of basis swaps. Trade count totaled 59.3 thousand, including 2.3 thousand basis swaps
• SARON traded notional totaled $365.9 billion, including $30.1 billion of basis swaps. Trade count totaled 7.2 thousand, including 312 basis swaps
• TONA traded notional totaled $1.5 trillion, including $328.9 billion of basis swaps. Trade count totaled 20.7 thousand, including 3.9 thousand basis swaps
• €STR traded notional totaled $15.2 trillion, including $723.5 billion of basis swaps. Trade count totaled 39.2 thousand, including 6.0 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 86% and 113%, respectively
  • CDX HY traded notional and trade count increased by 131% and 165%, respectively
  • CDX IG traded notional and trade count increased by 109% and 139%, respectively
  • iTraxx Europe traded notional and trade count increased by 109% and 147%, respectively
• 83% of total traded notional was cleared vs. 72% last year
• 83% of total traded notional was executed on SEFs vs. 71% last year

2022 YTD vs. 2021 YTD

• Total credit derivatives traded notional and trade count increased by 74% and 75%, respectively
  • CDX HY traded notional and trade count increased by 73% and 79%, respectively
  • CDX IG traded notional and trade count both increased by 66%
  • iTraxx Europe traded notional and trade count increased by 99% and 97%, 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