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 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 9% and 16%, respectively
    • FRA traded notional and trade count decreased by 33% and 23%, respectively
    • OIS traded notional and trade count increased by 152% and 238%, respectively
  • 75% of total traded notional was cleared vs. 76% last year
  • 59% of total traded notional was executed on SEFs vs. 66% last year

 

2022 Current Week vs. 2021 Current Week

 

Interest Rate Derivatives: Benchmark Data

YTD Ending November 25, 2022

  • SOFR traded notional totaled $48.9 trillion, including $6.5 trillion of basis swaps. Trade count totaled 554.5 thousand, including 48.7 thousand basis swaps
  • SONIA traded notional totaled $22.1 trillion, including $558.9 billion of basis swaps. Trade count totaled 138.6 thousand, including 5.5 thousand basis swaps
  • SARON traded notional totaled $860.0 billion, including $67.6 billion of basis swaps. Trade count totaled 16.6 thousand, including 630 basis swaps
  • TONA traded notional totaled $3.0 trillion, including $712.2 billion of basis swaps. Trade count totaled 45.6 thousand, including 9.0 thousand basis swaps
  • €STR traded notional totaled $30.5 trillion, including $1.5 trillion of basis swaps. Trade count totaled 83.1 thousand, including 11.7 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 59% and 71%, respectively
    • CDX HY traded notional and trade count increased by 62% and 79%, respectively
    • CDX IG traded notional and trade count increased by 65% and 76%, respectively
    • iTraxx Europe traded notional and trade count increased by 66% and 86%, 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 $537.8 billion, while trade count totaled 168.4 thousand
    • Corporate single-name CDS traded notional totaled $377.5 billion, and trade count was 119.4 thousand
    • Sovereign single-name CDS traded notional totaled $127.5 billion, and trade count was 32.1 thousand
  • 9% of total traded notional was cleared