A planned system upgrade by the DTCC SDR on November 21st, 2020 changed reporting logic for indicating the cleared status of trades. Following the upgrade, the percentage of trades that are indicated to be cleared appears to be lower than historical averages as firms switched over to the new reporting logic.
ISDA-Clarus RFR Adoption Indicator increased to 10.0% in December compared to 8.3% 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 December report is available here.
Data from ISDA SwapsInfo for the week ending January 22, 2021.

 

Interest Rate Derivatives

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 23%, while trade count increased by 1%
    • Fixed-for-floating IRS traded notional and trade count increased by 32% and 10%, respectively
    • FRAs traded notional and trade count decreased by 31% and 14%, respectively
    • OIS traded notional and trade count decreased by 52% and 11%, respectively
  • 78% of total traded notional was cleared vs. 92% last year
  • 72% of total traded notional was executed On SEF vs. 63% last year

 

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count decreased by 24% and 2%, respectively
    • Fixed-for-floating IRS traded notional increased by 26%, while trade count decreased by 7%
    • FRAs traded notional decreased by 23%, while trade count increased by 10%
    • OIS traded notional and trade count decreased by 65% and 2%, respectively
  • 75% of total traded notional was cleared vs. 92% last year
  • 69% of total traded notional was executed On SEF vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending January 22, 2021

  • SOFR traded notional totaled $48.2 billion, including $16.5 billion of basis swaps. Trade count totaled 240, including 94 basis swaps
  • SONIA traded notional totaled $249.7  billion, including $1.9 billion of basis swaps. Trade count totaled 654, including 13 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $8.9 billion and 17, respectively
  • €STR traded notional and trade count was $2.7 billion and 19, respectively

YTD Ending January 22, 2021

  • SOFR traded notional totaled $158.7 billion, including $80.6 billion of basis swaps. Trade count totaled 1,020, including 520 basis swaps
  • SONIA traded notional totaled $1.5 trillion, including $13.2 billion of basis swaps. Trade count totaled 2,656, including 91 basis swaps
  • SARON traded notional and trade count was $0.9 billion and 6, respectively
  • TONA traded notional and trade count was $19.5 billion and 46, respectively
  • €STR traded notional and trade count was $8.3 billion and 65, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional decreased by 7%, while trade count increased by 0.2%
    • CDX HY traded notional and trade count decreased by 10% and 6%, respectively
    • CDX IG traded notional and trade count decreased by 22% and 11%, respectively
    • iTraxx Europe traded notional and trade count increased by 17% and 36%, respectively
  • 77% of total traded notional was cleared vs. 78% last year
  • 76% of total traded notional was executed On SEF vs. 74% last year

 

2021 Current Week vs. 2020 Current Week

  • Total credit derivatives traded notional and trade count decreased by 0.4% and 2%, respectively
    • CDX HY traded notional and trade count decreased by 18% and 24%, respectively
    • CDX IG traded notional and trade count decreased by 16% and 9%, respectively
    • iTraxx Europe traded notional and trade count increased by 24% and 50%, respectively
  • 76% of total traded notional was cleared vs. 82% last year
  • 75% of total traded notional was executed On SEF vs. 78% last year