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 increased by 12%, while trade count decreased 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 28% and 33%, respectively
- FRA traded notional and trade count decreased by 56% and 51%, respectively
- OIS traded notional and trade count increased by 234% and 294%, respectively
- 74% of total traded notional was cleared, vs. 76% last year
- 59% 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 15%, respectively
- Fixed-for-floating IRS traded notional increased by 3%, while trade count decreased by 17%
- FRA traded notional and trade count decreased by 49% and 43%, respectively
- OIS traded notional and trade count increased by 252% and 361%, 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 3, 2022
- SOFR traded notional totaled $767.6 billion, including $107.1 billion of basis swaps. Trade count totaled 8.6 thousand, including 731 basis swaps
- SONIA traded notional totaled $180.4 billion, including $8.3 billion of basis swaps. Trade count totaled 1.3 thousand, including 61 basis swaps
- SARON traded notional totaled $19.0 billion, including $1.3 billion of basis swaps. Trade count totaled 318, including 8 basis swaps
- TONA traded notional totaled $47.5 billion, including $15.5 billion of basis swaps. Trade count totaled 760, including 135 basis swaps
- €STR traded notional totaled $646.8 billion, including $14.3 billion of basis swaps. Trade count totaled 1.8 thousand, including 143 basis swaps
YTD Ending June 3, 2022
- SOFR traded notional totaled $21.6 trillion, including $3.2 trillion of basis swaps. Trade count totaled 241.4 thousand, including 23.7 thousand basis swaps
- SONIA traded notional totaled $9.4 trillion, including $254.9 billion of basis swaps. Trade count totaled 56.3 thousand, including 2.2 thousand basis swaps
- SARON traded notional totaled $323.3 billion, including $29.3 billion of basis swaps. Trade count totaled 6.7 thousand, including 304 basis swaps
- TONA traded notional totaled $1.4 trillion, including $308.6 billion of basis swaps. Trade count totaled 19.4 thousand, including 3.6 thousand basis swaps
- €STR traded notional totaled $13.9 trillion, including $688.3 billion of basis swaps. Trade count totaled 36.6 thousand, including 5.6 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 55% and 78%, respectively
- CDX HY traded notional and trade count increased by 104% and 110%, respectively
- CDX IG traded notional and trade count increased by 93% and 108%, respectively
- iTraxx Europe traded notional and trade count increased by 43% and 73%, respectively
- 85% of total traded notional was cleared vs. 75% last year
- 84% of total traded notional was executed on SEFs vs. 74% 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 72% and 77%, respectively
- CDX IG traded notional and trade count increased by 65% and 64%, respectively
- iTraxx Europe traded notional and trade count increased by 98% and 95%, 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
