ISDA has added the analysis of credit derivatives reported under SEC regulation to its SwapsInfo Weekly Analysis. Public dissemination of security-based swap (SBS) transactions went live on February 14, 2022. Credit Derivatives YTD traded notional and trade count reflects data reported since then. The analysis includes only transactions reported to the Depository Trust & Clearing Corporation SBS data repository and doesn’t cover transactions reported to ICE Trade Vault.
Interest Rate Derivatives
2022 YTD vs. 2021 YTD
- Total IRD traded notional and trade count increased by 26% and 20%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 8% and 16%, respectively
- FRA traded notional and trade count decreased by 33% and 23%, respectively
- OIS traded notional and trade count increased by 156% and 243%, respectively
- 75% of total traded notional was cleared vs. 76% last year
- 59% of total traded notional was executed on SEFs vs. 67% last year
2022 Current Week vs. 2021 Current Week
Interest Rate Derivatives: Benchmark Data
YTD Ending November 18, 2022
- SOFR traded notional totaled $48.0 trillion, including $6.4 trillion of basis swaps. Trade count totaled 544.7 thousand, including 48.0 thousand basis swaps
- SONIA traded notional totaled $21.8 trillion, including $552.7 billion of basis swaps. Trade count totaled 135.9 thousand, including 5.5 thousand basis swaps
- SARON traded notional totaled $847.0 billion, including $64.6 billion of basis swaps. Trade count totaled 16.3 thousand, including 604 basis swaps
- TONA traded notional totaled $3.0 trillion, including $701.9 billion of basis swaps. Trade count totaled 44.8 thousand, including 8.9 thousand basis swaps
- €STR traded notional totaled $29.8 trillion, including $1.4 trillion of basis swaps. Trade count totaled 81.6 thousand, including 11.5 thousand basis swaps
Click here to view RFR data by product and tenor and RFR historical data
Credit Derivatives Reported under CFTC Regulation
2022 YTD vs. 2021 YTD
- Total credit derivatives traded notional and trade count increased by 61% and 74%, respectively
- CDX HY traded notional and trade count increased by 65% and 81%, respectivel
- CDX IG traded notional and trade count increased by 66% and 77%, respectively
- iTraxx Europe traded notional and trade count increased by 71% and 91%, respectively
- 84% of total traded notional was cleared vs. 80% last year
- 83% of total traded notional was executed on SEFs vs. 80% last year
2022 Current Week vs. 2021 Current Week
Credit Derivatives Reported under SEC Regulation
YTD Ending November 18, 2022*
*Public dissemination of security-based swap transactions went live on February 14, 2022
- Credit derivatives traded notional totaled $531.5 billion, while trade count totaled 166.2 thousand
- Corporate single-name CDS traded notional totaled $373.4 billion, and trade count was 117.9 thousand
- Sovereign single-name CDS traded notional totaled $126.0 billion, and trade count was 31.7 thousand
- 9% of total traded notional was cleared