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 SwapsInfo First Quarter of 2022 Review: Summary.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 44% and 30%, respectively
- Fixed-for-floating IRS traded notional increased by 17%, while trade count decreased by 2%
- FRAs traded notional and trade count decreased by 26% and 23%, respectively
- OIS traded notional and trade count increased by 284% and 324%, respectively
- 77% of total traded notional was cleared vs. 74% last year
- 64% 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 25% and 10%, respectively
- Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 21%
- FRAs traded notional and trade count decreased by 52% and 48%, respectively
- OIS traded notional and trade count increased by 237% and 363%, 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 29, 2022
- SOFR traded notional totaled $933.3 billion, including $135.4 billion of basis swaps. Trade count totaled 10.7 thousand, including 966 basis swaps
- SONIA traded notional totaled $297.0 billion, including $9.2 billion of basis swaps. Trade count totaled 2.2 thousand, including 71 basis swaps
- SARON traded notional totaled $9.7 billion, including $0.2 billion of basis swaps. Trade count totaled 237, including 4 basis swaps
- TONA traded notional totaled $44.4 billion, including $12.3 billion of basis swaps. Trade count totaled 801, including 135 basis swaps
- €STR traded notional totaled $711.3 billion, including $21.1 billion of basis swaps. Trade count totaled 1.7 thousand, including 230 basis swaps
YTD Ending April 29, 2022
- SOFR traded notional totaled $16.8 trillion, including $2.6 trillion of basis swaps. Trade count totaled 185.2 thousand, including 18.7 thousand basis swaps
- SONIA traded notional totaled $7.2 trillion, including $205.8 billion of basis swaps. Trade count totaled 43.6 thousand, including 1.7 thousand basis swaps
- SARON traded notional totaled $224.6 billion, including $25.5 billion of basis swaps. Trade count totaled 5.0 thousand, including 259 basis swaps
- TONA traded notional totaled $1.1 trillion, including $238.1 billion of basis swaps. Trade count totaled 15.0 thousand, including 2.8 thousand basis swaps
- €STR traded notional totaled $10.2 trillion, including $557.9 billion of basis swaps. Trade count totaled 27.2 thousand, including 4.4 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 192% and 191%, respectively
- CDX HY traded notional and trade count increased by 177% and 189%, respectively
- CDX IG traded notional and trade count increased by 203% and 201%, respectively
- iTraxx Europe traded notional and trade count increased by 276% and 257%, respectively
- 85% of total traded notional was cleared vs. 74% last year
- 84% of total traded notional was executed on SEFs vs. 75% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 68% and 64%, respectively
- CDX HY traded notional and trade count increased by 59% and 65%, respectively
- CDX IG traded notional and trade count increased by 56% and 51%, respectively
- iTraxx Europe traded notional and trade count increased by 98% and 89%, 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
