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.

 

Interest Rate Derivatives

2022 Current Week vs. 2021 Current Week

  • Total IRD traded notional and trade count increased by 83% and 65%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 10% and 13%, respectively
    • FRAs traded notional increased by 5%, while trade count decreased by 5%
    • OIS traded notional and trade count increased by 503% and 575%, respectively
  • 77% of total traded notional was cleared vs. 75% last year
  • 61% 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 22% and 7%, respectively
    • Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 23%
    • FRAs traded notional and trade count decreased by 56% and 51%, respectively
    • OIS traded notional and trade count increased by 225% and 358%, respectively
  • 74% of total traded notional was cleared vs. 75% last year
  • 58% of total traded notional was executed on SEFs vs. 69% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 1, 2022

  • SOFR traded notional totaled $1.1 trillion, including $141.6 billion of basis swaps. Trade count totaled 12.6 thousand, including 1.1 thousand basis swaps
  • SONIA traded notional totaled $267.3 billion, including $8.6 billion of basis swaps. Trade count totaled 2.6 thousand, including 92 basis swaps
  • SARON traded notional totaled $11.9 billion, including $0.7 billion of basis swaps. Trade count totaled 316, including 10 basis swaps
  • TONA traded notional totaled $88.1 billion, including $16.0 billion of basis swaps. Trade count totaled 1.3 thousand, including 207 basis swaps
  • €STR traded notional totaled $853.1 billion, including $25.3 billion of basis swaps. Trade count totaled 1.9 thousand, including 228 basis swaps

YTD Ending April 1, 2022

  • SOFR traded notional totaled $13.0 trillion, including $2.1 trillion of basis swaps. Trade count totaled 139.2 thousand, including 14.7 thousand basis swaps
  • SONIA traded notional totaled $6.1 trillion, including $165.4 billion of basis swaps. Trade count totaled 35.6 thousand, including 1.4 thousand basis swaps
  • SARON traded notional totaled $187.5 billion, including $19.9 billion of basis swaps. Trade count totaled 4.1 thousand, including 192 basis swaps
  • TONA traded notional totaled $791.7 billion, including $173.5 billion of basis swaps. Trade count totaled 11.0 thousand, including 2.0 thousand basis swaps
  • €STR traded notional totaled $7.4 trillion, including $467.7 billion of basis swaps. Trade count totaled 21.1 thousand, including 3.6 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 34% and 50%, respectively
    • CDX HY traded notional and trade count increased by 18% and 39%, respectively
    • CDX IG traded notional and trade count increased by 26% and 33%, respectively
    • iTraxx Europe traded notional and trade count increased by 68% and 90%, respectively
  • 86% of total traded notional was cleared vs. 85% last year
  • 86% of total traded notional was executed on SEFs vs. 85% last year

 

2022 YTD vs. 2021 YTD

  • Total credit derivatives traded notional and trade count increased by 67% and 61%, respectively
    • CDX HY traded notional and trade count increased by 57% and 62%, respectively
    • CDX IG traded notional and trade count increased by 53% and 45%, respectively
    • iTraxx Europe traded notional and trade count increased by 100% and 87%, respectively
  • 83% of total traded notional was cleared vs. 82% last year
  • 82% of total traded notional was executed on SEFs vs. 81% last year