The swaps week in flow, traded rates and index spreads.
Data as of swap tape through 2026-09-30
Week of
21 Sep 2026
Data through
2026-09-30
Build date
2026-10-20
Flow for the week against the prior week, on final chain state. Notional is over USD-denominated trades; the capped shares and the accounting rules are those stated on the method page.
Asset class
Trades
Trades, prior week
Notional, USD trades ($)
Capped share of notional
Cleared share
Rates
260
102
$385.0M
0.0%
0.0%
Credits
12,712
9,839
$36.8B
81.9%
68.5%
Forex
262,924
280,630
$816.9B
8.7%
12.3%
Equities
1,308,648
1,745,452
$159.0B
10.1%
0.0%
Commodities
16,161
16,649
$32.6B
18.7%
0.0%
Index spreads, five-year point
Index
Spread (bp)
Change vs prior week (bp)
Reading date
CDX North America Investment Grade
58.2
+7.2
2026-09-25
CDX North America High Yield
316.6
+10.9
2026-09-25
CDX Emerging Markets
148.8
+10.1
2026-09-25
iTraxx Europe
60.6
+6.9
2026-09-25
iTraxx Crossover
291.9
+34.9
2026-09-25
iTraxx Asia ex-Japan IG
70.2
+5.8
2026-09-27
USD par rates
Tenor
VWAP rate (%)
Change vs prior week (bp)
2Y
4.80
+34.7
5Y
4.73
+18.3
10Y
4.80
+28.8
30Y
4.60
-1.7
EUR par rates
Tenor
VWAP rate (%)
Change vs prior week (bp)
2Y
3.43
+13.8
5Y
3.60
+10.2
10Y
3.47
+3.7
30Y
3.45
+8.0
Record quality
Disseminations in the week: 16,198. Modifications and corrections: 2,374 (14.66% of disseminations). Terminations: 13,136.
Notional amounts are as publicly disseminated by the swap data repository. A trade larger than the regulatory cap for its asset class is disseminated at the cap value and is flagged in the source data. All notional totals are therefore lower bounds on true traded notional. The share of trades and of disseminated notional that is capped is printed beside each exhibit. Cap thresholds were revised effective 7 October 2024; comparisons across that date partly reflect the change in disclosure, not only in activity.