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 17% and 7%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 17% and 25%, respectively
- FRAs traded notional and trade count both decreased by 39%
- OIS traded notional and trade count increased by 233% and 341%, respectively
- 76% of total traded notional was cleared vs. 77% last year
- 60% of total traded notional was executed on SEFs vs. 72% last year
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 20% and 4%, respectively
- Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 25%
- FRAs traded notional and trade count decreased by 58% and 53%, respectively
- OIS traded notional and trade count increased by 213% and 345%, respectively
- 74% of total traded notional was cleared vs. 75% last year
- 57% of total traded notional was executed on SEFs vs. 69% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 25, 2022
- SOFR traded notional totaled $1.1 trillion, including $171.0 billion of basis swaps. Trade count totaled 11.1 thousand, including 1.1 thousand basis swaps
- SONIA traded notional totaled $369.9 billion, including $12.9 billion of basis swaps. Trade count totaled 2.4 thousand, including 89 basis swaps
- SARON traded notional totaled $11.1 billion, including $0.6 billion of basis swaps. Trade count totaled 257, including 6 basis swaps
- TONA traded notional totaled $37.0 billion, including $8.7 billion of basis swaps. Trade count totaled 781, including 118 basis swaps
- €STR traded notional totaled $498.9 billion, including $21.1 billion of basis swaps. Trade count totaled 1.3 thousand, including 191 basis swaps
YTD Ending March 25, 2022
- SOFR traded notional totaled $11.8 trillion, including $2.0 trillion of basis swaps. Trade count totaled 126.6 thousand, including 13.7 thousand basis swaps
- SONIA traded notional totaled $5.9 trillion, including $157.1 billion of basis swaps. Trade count totaled 33.0 thousand, including 1.3 thousand basis swaps
- SARON traded notional totaled $175.6 billion, including $19.3 billion of basis swaps. Trade count totaled 3.8 thousand, including 182 basis swaps
- TONA traded notional totaled $704.1 billion, including $157.5 billion of basis swaps. Trade count totaled 9.7 thousand, including 1.8 thousand basis swaps
- €STR traded notional totaled $6.6 trillion, including $442.7 billion of basis swaps. Trade count totaled 19.3 thousand, including 3.4 thousand basis swaps
Credit Derivatives
2022 Current Week vs. 2021 Current Week
- Total credit derivatives traded notional and trade count increased by 18% and 24%, respectively
- CDX HY traded notional and trade count increased by 31% and 43%, respectively
- CDX IG traded notional and trade count both increased by 13%
- iTraxx Europe traded notional and trade count increased by 22% and 25%, respectively
- 88% of total traded notional was cleared vs. 86% last year
- 87% of total traded notional was executed on SEFs vs. 86% last year
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 71% and 62%, respectively
- CDX HY traded notional and trade count increased by 68% and 65%, respectively
- CDX IG traded notional and trade count increased by 55% and 45%, respectively
- iTraxx Europe traded notional and trade count increased by 102% and 87%, 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