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 Progress on Global Transition to RFRs in Derivatives Markets and IRD Trading Activity Reported in EU, UK and US Markets: Full Year of 2022.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 20% and 27%, respectively
- Fixed-for-floating IRS traded notional decreased by 41%, while trade count increased by 5%
- FRA traded notional and trade count increased by 29% and 37%, respectively
- OIS traded notional and trade count increased by 69% and 65%, respectively
- 78% 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 17, 2023
- SOFR traded notional totaled $18.6 trillion, including $1.9 trillion of basis swaps. Trade count totaled 193.6 thousand, including 12.9 thousand basis swaps
- SONIA traded notional totaled $7.9 trillion, including $201.0 billion of basis swaps. Trade count totaled 42.5 thousand, including 1.7 thousand basis swaps
- SARON traded notional totaled $246.4 billion, including $20.7 billion of basis swaps. Trade count totaled 4.9 thousand, including 229 basis swaps
- TONA traded notional totaled $1.5 trillion, including $294.0 billion of basis swaps. Trade count totaled 19.6 thousand, including 3.1 thousand basis swaps
- €STR traded notional totaled $12.1 trillion, including $434.4 billion of basis swaps. Trade count totaled 24.6 thousand, including 3.0 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 27% and 16%, respectively
- CDX HY traded notional and trade count decreased by 22% and 15%, respectively
- CDX IG traded notional and trade count decreased by 24% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 30% and 11%, respectively
- 86% of total traded notional was cleared vs. 82% last year
- 84% 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 17, 2023
- Credit derivatives traded notional totaled $159.9 billion, while trade count totaled 50.4 thousand
- Corporate single-name CDS traded notional totaled $120.9 billion, and trade count was 38.5 thousand
- Sovereign single-name CDS traded notional totaled $31.2 billion, and trade count was 7.6 thousand
- 53% of total traded notional was cleared
