ISDA has added the analysis of credit derivatives reported under SEC regulation to its SwapsInfo Weekly Analysis. Public dissemination of security-based swap (SBS) transactions went live on February 14, 2022. Credit Derivatives YTD traded notional and trade count reflects data reported since then. The analysis includes only transactions reported to the Depository Trust & Clearing Corporation SBS data repository and doesn’t cover transactions reported to ICE Trade Vault.
Check out the latest Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2022.
Interest Rate Derivatives
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 26% and 20%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 9% and 16%, respectively
- FRA traded notional and trade count decreased by 32% and 22%, respectively
- OIS traded notional and trade count increased by 149% and 231%, respectively
- 75% of total traded notional was cleared vs. 76% last year
- 59% of total traded notional was executed on SEFs vs. 66% last year
2022 Current Week vs. 2021 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending December 2, 2022
- SOFR traded notional totaled $50.4 trillion, including $6.6 trillion of basis swaps. Trade count totaled 570.0 thousand, including 49.7 thousand basis swaps
- SONIA traded notional totaled $22.4 trillion, including $566.4 billion of basis swaps. Trade count totaled 141.4 thousand, including 5.6 thousand basis swaps
- SARON traded notional totaled $875.3 billion, including $69.8 billion of basis swaps. Trade count totaled 17.0 thousand, including 658 basis swaps
- TONA traded notional totaled $3.1 trillion, including $733.1 billion of basis swaps. Trade count totaled 46.9 thousand, including 9.3 thousand basis swaps
- €STR traded notional totaled $31.5 trillion, including $1.5 trillion of basis swaps. Trade count totaled 85.2 thousand, including 11.9 thousand basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulation
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 54% and 67%, respectively
- CDX HY traded notional and trade count increased by 58% and 74%, respectively
- CDX IG traded notional and trade count increased by 61% and 72%, respectively
- iTraxx Europe traded notional and trade count increased by 61% and 81%, respectively
- 84% of total traded notional was cleared vs. 81% last year
- 83% of total traded notional was executed on SEFs vs. 80% last year
2022 Current Week vs. 2021 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending December 2, 2022*
*Public dissemination of security-based swap transactions went live on February 14, 2022
- Credit derivatives traded notional totaled $550.0 billion, while trade count totaled 172.2 thousand
- Corporate single-name CDS traded notional totaled $386.1 billion, and trade count was 121.9 thousand
- Sovereign single-name CDS traded notional totaled $129.5 billion, and trade count was 32.6 thousand
- 9% of total traded notional was cleared
