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.
Check out the latest Transition to RFRs Review: Full Year 2020 and the Fourth Quarter of 2020 and SwapsInfo Full Year of 2020 and the Fourth Quarter of 2020 Review: Summary
Data from ISDA SwapsInfo for the week ending February 5, 2021.

 

Interest Rate Derivatives

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 19%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional and trade count increased by 42% and 11%, respectively
    • FRAs traded notional and trade count decreased by 23% and 5%, respectively
    • OIS traded notional and trade count decreased by 57% and 4%, respectively
  • 77% of total traded notional was cleared vs. 92% last year
  • 70% of total traded notional was executed On SEF vs. 59% last year

 

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional decreased by 9%, while trade count increased by 21%
    • Fixed-for-floating IRS traded notional and trade count increased by 64% and 25%, respectively
    • FRAs traded notional and trade count decreased by 14% and 5%, respectively
    • OIS traded notional decreased by 53%, while trade count increased by 32%
  • 72% of total traded notional was cleared vs. 90% last year
  • 66% of total traded notional was executed On SEF vs. 55% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending February 5, 2021

  • SOFR traded notional totaled $75.8 billion, including $24.2 billion of basis swaps. Trade count totaled 494, including 216 basis swaps
  • SONIA traded notional totaled $418.6 billion, including $5.1 billion of basis swaps. Trade count totaled 1,382, including 26 basis swaps
  • SARON traded notional and trade count was $0.5 billion and 7, respectively
  • TONA traded notional and trade count was $3.2 billion and 11, respectively
  • €STR traded notional and trade count was $3.1 billion and 43, respectively

YTD Ending February 5, 2021

  • SOFR traded notional totaled $279.7 billion, including $125.3 billion of basis swaps. Trade count totaled 1,837, including 827 basis swaps
  • SONIA traded notional totaled $2.2 trillion, including $19.2 billion of basis swaps. Trade count totaled 4,858, including 126 basis swaps
  • SARON traded notional and trade count was $1.6 billion and 18, respectively
  • TONA traded notional totaled $33.1 billion, including $0.1 billion of basis swaps. Trade count totaled 84, including 2 basis swaps
  • €STR traded notional and trade count was $24.1 billion and 134, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 10% and 3%, respectively
    • CDX HY traded notional and trade count decreased by 8% and 9%, respectively
    • CDX IG traded notional and trade count decreased by 25% and 13%, respectively
    • iTraxx Europe traded notional and trade count increased by 5% and 23%, respectively
  • 79% of total traded notional was cleared vs. 80% last year
  • 78% of total traded notional was executed On SEF vs. 77% last year

 

2021 Current Week vs. 2020 Current Week

  • Total credit derivatives traded notional and trade count decreased by 17% and 6%, respectively
    • CDX HY traded notional and trade count decreased by 10% and 12%, respectively
    • CDX IG traded notional and trade count decreased by 30% and 18%, respectively
    • iTraxx Europe traded notional decreased by 0.2%, while trade count increased by 20%
  • 83% of total traded notional was cleared, flat compared with last year
  • 82% of total traded notional was executed On SEF vs. 80% last year