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 10.6% in February compared to 10.0% 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 (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. The latest February report is available here.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 18%, while trade count increased by 13%
- Fixed-for-floating IRS traded notional and trade count increased by 39% and 14%, respectively
- FRAs traded notional decreased by 14%, while trade count increased by 19%
- OIS traded notional and trade count decreased by 63% and 0.2%, respectively
- 75% of total traded notional was cleared vs. 91% last year
- 69% of total traded notional was executed On SEF vs. 52% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 5%, while trade count increased by 0.4%
- Fixed-for-floating IRS traded notional increased by 47%, while trade count decreased by 0.2%
- FRAs traded notional and trade count decreased by 40% and 7%, respectively
- OIS traded notional decreased by 26%, while trade count increased by 22%
- 77% of total traded notional was cleared vs. 92% last year
- 72% of total traded notional was executed On SEF vs. 70% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 26, 2021
- SOFR traded notional totaled $57.5 billion, including $33.8 billion of basis swaps. Trade count totaled 410, including 175 basis swaps
- SONIA traded notional totaled $250.3 billion, including $2.2 billion of basis swaps. Trade count totaled 1,320, including 18 basis swaps
- SARON traded notional and trade count was $0.1 billion and 3, respectively
- TONA traded notional totaled $3.4 billion, including $0.2 billion of basis swaps. Trade count totaled 15, including 2 basis swaps
- €STR traded notional and trade count was $3.1 billion and 30, respectively
YTD Ending March 26, 2021
- SOFR traded notional totaled $684.0 billion, including $282.0 billion of basis swaps. Trade count totaled 4,876, including 1,866 basis swaps
- SONIA traded notional totaled $4.5 trillion, including $53.6 billion of basis swaps. Trade count totaled 15,318, including 306 basis swaps
- SARON traded notional and trade count was $7.1 billion and 52, respectively
- TONA traded notional totaled $98.7 billion, including $0.3 billion of basis swaps. Trade count totaled 219, including 4 basis swaps
- €STR traded notional totaled $42.3 billion, including $0.4 billion of basis swaps. Trade count totaled 301, including 7 basis swaps
Click Here to View Historical Benchmark Data
Credit Derivatives
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 36% and 34%, respectively
- CDX HY traded notional and trade count decreased by 45% and 38%, respectively
- CDX IG traded notional and trade count decreased by 41% and 37%, respectively
- iTraxx Europe traded notional and trade count decreased by 23% and 18%, respectively
- 81% of total traded notional was cleared vs. 83% last year
- 81% of total traded notional was executed On SEF vs. 80% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 1% and 25%, respectively
- CDX HY traded notional and trade count decreased by 74% and 64%, respectively
- CDX IG traded notional and trade count decreased by 6% and 20%, respectively
- iTraxx Europe traded notional and trade count increased by 80% and 41%, respectively
- 86% of total traded notional was cleared vs. 87% last year
- 86% of total traded notional was executed On SEF vs. 84% last year
