ISDA has expanded its SwapsInfo website to include interest rate derivatives trading activity reported in the EU and UK. The new data is based on transactions publicly reported by 30 European approved publication arrangements and trading venues.
Check out the latest ISDA Margin Survey Year-End 2021 and Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: February 2022.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 50% and 39%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 13% and 8%, respectively
- FRA traded notional and trade count decreased by 45% and 55%, respectively
- OIS traded notional and trade count increased by 369% and 396%, respectively
- 75% of total traded notional was cleared vs. 74% last year
- 58% of total traded notional was executed on SEFs vs. 70% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 28% and 13%, respectively
- Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 18%
- FRA traded notional and trade count decreased by 50% and 45%, respectively
- OIS traded notional and trade count increased by 251% and 365%, respectively
- 74% of total traded notional was cleared vs. 75% last year
- 58% of total traded notional was executed on SEFs vs. 69% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 13, 2022
- SOFR traded notional totaled $967.6 billion, including $135.3 billion of basis swaps. Trade count totaled 12.3 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $396.7 billion, including $12.4 billion of basis swaps. Trade count totaled 2.8 thousand, including 100 basis swaps
- SARON traded notional totaled $14.5 billion, including $1.0 billion of basis swaps. Trade count totaled 318, including 15 basis swaps
- TONA traded notional totaled $72.5 billion, including $15.7 billion of basis swaps. Trade count totaled 1.0 thousand, including 158 basis swaps
- €STR traded notional totaled $747.2 billion, including $38.2 billion of basis swaps. Trade count totaled 1.9 thousand, including 319 basis swaps
YTD Ending May 13, 2022
- SOFR traded notional totaled $18.8 trillion, including $2.9 trillion of basis swaps. Trade count totaled 208.3 thousand, including 20.6 thousand basis swaps
- SONIA traded notional totaled $8.1 trillion, including $224.1 billion of basis swaps. Trade count totaled 48.8 thousand, including 1.9 thousand basis swaps
- SARON traded notional totaled $258.8 billion, including $26.9 billion of basis swaps. Trade count totaled 5.7 thousand, including 279 basis swaps
- TONA traded notional totaled $1.2 trillion, including $257.7 billion of basis swaps. Trade count totaled 16.4 thousand, including 3.0 thousand basis swaps
- €STR traded notional totaled $11.8 trillion, including $623.4 billion of basis swaps. Trade count totaled 30.7 thousand, including 5.0 thousand basis swaps
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Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 97% and 94%, respectively
- CDX HY traded notional and trade count increased by 116% and 83%, respectively
- CDX IG traded notional and trade count increased by 68% and 92%, respectively
- iTraxx Europe traded notional and trade count increased by 159% and 148%, respectively
- 75% of total traded notional was cleared vs. 80% last year
- 73% of total traded notional was executed on SEFs vs. 80% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 72% and 69%, respectively
- CDX HY traded notional and trade count increased by 66% and 71%, respectively
- CDX IG traded notional and trade count increased by 60% and 57%, respectively
- iTraxx Europe traded notional and trade count increased by 103% and 95%, respectively
- 83% of total traded notional was cleared vs. 81% last year
- 82% of total traded notional was executed on SEFs vs. 81% last year