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.
Check out the latest IRD Trading Activity Reported in EU, UK and US Markets: Full Year of 2022 and Fourth Quarter of 2022 and ISDA-Clarus RFR Adoption Indicator: February 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 17% and 24%, respectively
- Fixed-for-floating IRS traded notional decreased by 42%, while trade count increased by 4%
- FRA traded notional and trade count increased by 40% and 50%, respectively
- OIS traded notional and trade count increased by 64% and 58%, respectively
- 77% of total traded notional was cleared vs. 74% last year
- 52% of total traded notional was executed on SEFs vs. 57% last year
2023 Current Week vs. 2022 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending March 10, 2023
- SOFR traded notional totaled $16.2 trillion, including $1.6 trillion of basis swaps. Trade count totaled 167.9 thousand, including 11.1 thousand basis swaps
- SONIA traded notional totaled $6.9 trillion, including $187.6 billion of basis swaps. Trade count totaled 38.3 thousand, including 1.5 thousand basis swaps
- SARON traded notional totaled $210.0 billion, including $17.8 billion of basis swaps. Trade count totaled 4.2 thousand, including 208 basis swaps
- TONA traded notional totaled $1.3 trillion, including $232.5 billion of basis swaps. Trade count totaled 17.0 thousand, including 2.5 thousand basis swaps
- €STR traded notional totaled $9.8 trillion, including $358.5 billion of basis swaps. Trade count totaled 20.7 thousand, including 2.6 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 25%, respectively
- CDX HY traded notional and trade count decreased by 31% and 22%, respectively
- CDX IG traded notional and trade count decreased by 33% and 20%, respectively
- iTraxx Europe traded notional and trade count decreased by 43% and 25%, respectively
- 85% of total traded notional was cleared vs. 82% last year
- 83% of total traded notional was executed on SEFs vs. 81% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending March 10, 2023
- Credit derivatives traded notional totaled $137.2 billion, while trade count totaled 44.5 thousand
- Corporate single-name CDS traded notional totaled $106.6 billion, and trade count was 34.8 thousand
- Sovereign single-name CDS traded notional totaled $23.3 billion, and trade count was 5.6 thousand
- 53% of total traded notional was cleared
