ISDA has launched a new SwapsInfo page that shows weekly traded notional and trade count for credit derivatives reported under Securities and Exchange Commission regulations. This data includes only security-based swap transactions reported to DTCC security-based swap data repository beginning February 2022. It does not cover security-based transactions reported to ICE Trade Vault and does not include any transactions that are required to be disclosed under Commodity Futures Trading Commission regulations.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 8% and 20%, respectively
- Fixed-for-floating IRS traded notional decreased by 47%, while trade count increased by 0.1%
- FRA traded notional and trade count increased by 31% and 36%, respectively
- OIS traded notional and trade count increased by 56% and 61%, respectively
- 78% of total traded notional was cleared vs. 73% last year
- 53% of total traded notional was executed on SEFs vs. 58% last year
2023 Current Week vs. 2022 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending February 17, 2023
- SOFR traded notional totaled $10.9 trillion, including $1.1 trillion of basis swaps. Trade count totaled 111.1 thousand, including 7.8 thousand basis swaps
- SONIA traded notional totaled $5.0 trillion, including $123.1 billion of basis swaps. Trade count totaled 28.6 thousand, including 967 basis swaps
- SARON traded notional totaled $108.7 billion, including $14.6 billion of basis swaps. Trade count totaled 2.5 thousand, including 163 basis swaps
- TONA traded notional totaled $975.9 billion, including $172.5 billion of basis swaps. Trade count totaled 12.7 thousand, including 1.9 thousand basis swaps
- €STR traded notional totaled $6.2 trillion, including $242.4 billion of basis swaps. Trade count totaled 13.1 thousand, including 1.9 thousand basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulation
2023 YTD vs. 2022 YTD
- Total credit derivatives traded notional and trade count decreased by 37% and 24%, respectively
- CDX HY traded notional and trade count decreased by 34% and 25%, respectively
- CDX IG traded notional and trade count decreased by 36% and 20%, respectively
- iTraxx Europe traded notional and trade count decreased by 38% and 18%, respectively
- 84% of total traded notional was cleared vs. 81% last year
- 81% of total traded notional was executed on SEFs vs. 80% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending February 17, 2023
- Credit derivatives traded notional totaled $84.0 billion, while trade count totaled 28.1 thousand
- Corporate single-name CDS traded notional totaled $64.1 billion, and trade count was 21.8 thousand
- Sovereign single-name CDS traded notional totaled $15.0 billion, and trade count was 3.6 thousand
- 50% of total traded notional was cleared
