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.
Interest Rate Derivatives
2022 Current Week vs. 2021 Current Week
- Total IRD traded notional and trade count increased by 53% and 40%, respectively
- Fixed-for-floating IRS traded notional increased by 14%, while trade count decreased by 4%
- FRAs traded notional and trade count decreased by 17% and 15%, respectively
- OIS traded notional and trade count increased by 257% and 405%, respectively
- 74% of total traded notional was cleared, flat compared with last year
- 61% 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 24% and 9%, respectively
- Fixed-for-floating IRS traded notional increased by 8%, while trade count decreased by 22%
- FRAs traded notional and trade count decreased by 55% and 49%, respectively
- OIS traded notional and trade count increased by 226% and 362%, 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 April 8, 2022
- SOFR traded notional totaled $1.1 trillion, including $150.6 billion of basis swaps. Trade count totaled 12.9 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $267.8 billion, including $6.1 billion of basis swaps. Trade count totaled 2.2 thousand, including 58 basis swaps
- SARON traded notional totaled $11.1 billion, including $2.5 billion of basis swaps. Trade count totaled 259, including 20 basis swaps
- TONA traded notional totaled $101.5 billion, including $20.8 billion of basis swaps. Trade count totaled 1.2 thousand, including 226 basis swaps
- €STR traded notional totaled $602.4 billion, including $34.6 billion of basis swaps. Trade count totaled 1.6 thousand, including 261 basis swaps
YTD Ending April 8, 2022
- SOFR traded notional totaled $14.0 trillion, including $2.2 trillion of basis swaps. Trade count totaled 152.1 thousand, including 15.8 thousand basis swaps
- SONIA traded notional totaled $6.4 trillion, including $171.5 billion of basis swaps. Trade count totaled 37.8 thousand, including 1.5 thousand basis swaps
- SARON traded notional totaled $198.5 billion, including $22.4 billion of basis swaps. Trade count totaled 4.3 thousand, including 212 basis swaps
- TONA traded notional totaled $893.3 billion, including $194.3 billion of basis swaps. Trade count totaled 12.2 thousand, including 2.2 thousand basis swaps
- €STR traded notional totaled $8.0 trillion, including $501.9 billion of basis swaps. Trade count totaled 22.7 thousand, including 3.9 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 65% and 76%, respectively
- CDX HY traded notional and trade count increased by 44% and 61%, respectively
- CDX IG traded notional and trade count increased by 42% and 60%, respectively
- iTraxx Europe traded notional and trade count both increased by 106%
- 83% of total traded notional was cleared, flat compared with last year
- 82% of total traded notional was executed on SEFs vs. 83% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 67% and 62%, respectively
- CDX HY traded notional and trade count increased by 56% and 62%, respectively
- CDX IG traded notional and trade count increased by 52% and 45%, respectively
- iTraxx Europe traded notional and trade count increased by 100% and 88%, respectively
- 83% of total traded notional was cleared vs. 82% last year
- 82% of total traded notional was executed on SEFs, flat compared with last year