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: March 2022.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 3% and 5%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 37% and 23%, respectively
- FRAs traded notional and trade count decreased by 37% and 45%, respectively
- OIS traded notional and trade count increased by 276% and 345%, respectively
- 77% of total traded notional was cleared vs. 78% last year
- 59% of total traded notional was executed on SEFs vs. 74% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 23% and 9%, respectively
- Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 22%
- FRAs traded notional and trade count decreased by 54% and 49%, respectively
- OIS traded notional and trade count increased by 229% and 361%, 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 15, 2022
- SOFR traded notional totaled $856.5 billion, including $97.5 billion of basis swaps. Trade count totaled 10.6 thousand, including 818 basis swaps
- SONIA traded notional totaled $270.7 billion, including $10.9 billion of basis swaps. Trade count totaled 1.8 thousand, including 93 basis swaps
- SARON traded notional totaled $7.7 billion, including $0.7 billion of basis swaps. Trade count totaled 199, including 10 basis swaps
- TONA traded notional totaled $67.0 billion, including $13.1 billion of basis swaps. Trade count totaled 884, including 166 basis swaps
- €STR traded notional totaled $681.8 billion, including $11.4 billion of basis swaps. Trade count totaled 1.2 thousand, including 145 basis swaps
YTD Ending April 15, 2022
- SOFR traded notional totaled $14.9 trillion, including $2.3 trillion of basis swaps. Trade count totaled 162.7 thousand, including 16.6 thousand basis swaps
- SONIA traded notional totaled $6.7 trillion, including $182.4 billion of basis swaps. Trade count totaled 39.6 thousand, including 1.5 thousand basis swaps
- SARON traded notional totaled $206.2 billion, including $23.1 billion of basis swaps. Trade count totaled 4.5 thousand, including 222 basis swaps
- TONA traded notional totaled $959.6 billion, including $206.9 billion of basis swaps. Trade count totaled 13.1 thousand, including 2.4 thousand basis swaps
- €STR traded notional totaled $8.7 trillion, including $514.2 billion of basis swaps. Trade count totaled 23.9 thousand, including 4.0 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 14% and 26%, respectively
- CDX HY traded notional and trade count increased by 35% and 45%, respectively
- CDX IG traded notional and trade count increased by 15% and 28%, respectively
- iTraxx Europe traded notional and trade count increased by 4% and 22%, respectively
- 81% of total traded notional was cleared, flat compared with last year
- 80% of total traded notional was executed on SEFs vs. 81% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 65% and 60%, respectively
- CDX HY traded notional and trade count increased by 55% and 61%, respectively
- CDX IG traded notional and trade count increased by 51% and 44%, respectively
- iTraxx Europe traded notional and trade count increased by 95% and 85%, respectively
- 83% of total traded notional was cleared vs. 82% last year
- 82% of total traded notional was executed on SEFs, flat compared with last year
