A planned system upgrade by the DTCC SDR on November 21st, 2020 changed reporting logic for the cleared status of trades. Following the upgrade, the percentage of IRD trades indicated to be cleared appeared lower than historical averages as firms switched to the new reporting logic.

 

ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 20.3% in September compared to 17.5% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives that reference the identified risk-free rates (RFRs) in six major currencies. The latest September report is available here.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 90% and 70%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 109% and 79%, respectively
    • FRAs traded notional and trade count decreased by 56% and 49%, respectively
    • OIS traded notional and trade count increased by 285% and 324%, respectively
  • 74% of total traded notional was cleared vs. 89% last year
  • 53% of total traded notional was executed on SEFs vs. 61% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 8%, while trade count increased by 14%
    • Fixed-for-floating IRS traded notional and trade count increased by 47% and 18%, respectively
    • FRAs traded notional and trade count decreased by 35% and 24%, respectively
    • OIS traded notional decreased by 28%, while trade count increased by 85%
  • 76% of total traded notional was cleared vs. 91% last year
  • 68% of total traded notional was executed on SEFs vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 15, 2021

  • SOFR traded notional totaled $366.5 billion, including $107.9 billion of basis swaps. Trade count totaled 2,838, including 560 basis swaps
  • SONIA traded notional totaled $1.7 trillion, including $12.4 billion of basis swaps. Trade count totaled 3,518, including 89 basis swaps
  • SARON traded notional totaled $13.3 billion, including $0.2 billion of basis swaps. Trade count totaled 212, including 3 basis swaps
  • TONA traded notional totaled $35.4 billion, including $10.9 billion of basis swaps. Trade count totaled 504, including 87 basis swaps
  • €STR traded notional totaled $45.5 billion, including $13.0 billion of basis swaps. Trade count totaled 302, including 105 basis swaps

YTD Ending October 15, 2021

  • SOFR traded notional totaled $4.5 trillion, including $1.5 trillion of basis swaps. Trade count totaled 38,261, including 8,173 basis swaps
  • SONIA traded notional totaled $14.8 trillion, including $222.3 billion of basis swaps. Trade count totaled 67,372, including 1,362 basis swaps
  • SARON traded notional totaled $124.8 billion, including $3.7 billion of basis swaps. Trade count totaled 1,891, including 53 basis swaps
  • TONA traded notional totaled $428.9 billion, including $55.7 billion of basis swaps. Trade count totaled 4,297, including 474 basis swaps
  • €STR traded notional totaled $403.7 billion, including $54.9 billion of basis swaps. Trade count totaled 2,099, including 368 basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 Current Week vs. 2020 Current Week
  • Total credit derivatives traded notional increased by 18%, while trade count decreased by 18%
    • CDX HY traded notional and trade count increased by 42% and 20%, respectively
    • CDX IG traded notional and trade count increased by 45% and 10%, respectively
    • iTraxx Europe traded notional and trade count decreased by 62% and 74%, respectively
  • 73% of total traded notional was cleared vs. 78% last year
  • 72% of total traded notional was executed on SEFs vs. 75% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 15% and 23%, respectively
    • CDX HY traded notional and trade count decreased by 21% and 24%, respectively
    • CDX IG traded notional and trade count decreased by 24% and 29%, respectively
    • iTraxx Europe traded notional increased by 1%, while trade count decreased by 7%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year