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 research paper Progress on Global Transition to RFRs in Derivatives Markets.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 22% and 28%, respectively
- Fixed-for-floating IRS traded notional decreased by 39%, while trade count increased by 5%
- FRA traded notional and trade count increased by 33% and 42%, respectively
- OIS traded notional and trade count increased by 71% and 67%, respectively
- 78% of total traded notional was cleared vs. 74% 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 March 31, 2023
- SOFR traded notional totaled $22.1 trillion, including $2.2 trillion of basis swaps. Trade count totaled 233.6 thousand, including 15.7 thousand basis swaps
- SONIA traded notional totaled $9.2 trillion, including $241.3 billion of basis swaps. Trade count totaled 49.5 thousand, including 2.1 thousand basis swaps
- SARON traded notional totaled $295.6 billion, including $23.2 billion of basis swaps. Trade count totaled 6.0 thousand, including 260 basis swaps
- TONA traded notional totaled $1.7 trillion, including $378.4 billion of basis swaps. Trade count totaled 23.0 thousand, including 3.7 thousand basis swaps
- €STR traded notional totaled $15.3 trillion, including $540.6 billion of basis swaps. Trade count totaled 31.9 thousand, including 3.7 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 20% and 8%, respectively
- CDX HY traded notional and trade count decreased by 12% and 6%, respectively
- CDX IG traded notional and trade count decreased by 15% and 2%, respectively
- iTraxx Europe traded notional and trade count decreased by 24% and 5%, respectively
- 87% of total traded notional was cleared vs. 83% last year
- 85% of total traded notional was executed on SEFs vs. 82% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending March 31, 2023
- Credit derivatives traded notional totaled $201.7 billion, while trade count totaled 62.3 thousand
- Corporate single-name CDS traded notional totaled $150.4 billion, and trade count was 46.9 thousand
- Sovereign single-name CDS traded notional totaled $41.7 billion, and trade count was 10.3 thousand
- 51% of total traded notional was cleared
