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.

 

Interest Rate Derivatives

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 19%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional and trade count increased by 40% and 14%, respectively
    • FRAs traded notional decreased by 20%, while trade count increased by 9%
    • OIS traded notional decreased by 62%, while trade count increased by 2%
  • 75% of total traded notional was cleared vs. 91% last year
  • 69% of total traded notional was executed On SEF vs. 53% last year

 

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count decreased by 32% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 53% and 9%, respectively
    • FRAs traded notional and trade count decreased by 73% and 64%, respectively
    • OIS traded notional decreased by 28%, while trade count increased by 37%
  • 75% of total traded notional was cleared vs. 92% last year
  • 71% of total traded notional was executed On SEF, flat compared with last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 2, 2021

  • SOFR traded notional totaled $60.9 billion, including $22.7 billion of basis swaps. Trade count totaled 433, including 115 basis swaps
  • SONIA traded notional totaled $186.2 billion, including $2.6 billion of basis swaps. Trade count totaled 1,432, including 23 basis swaps
  • SARON traded notional and trade count was $0.02 billion and 1, respectively
  • TONA traded notional totaled $0.7 billion, including $0.02 billion of basis swaps. Trade count totaled 9, including 2 basis swaps
  • €STR traded notional and trade count was $3.6 billion and 35, respectively

YTD Ending April 2, 2021

  • SOFR traded notional totaled $745.5 billion, including $304.7 billion of basis swaps. Trade count totaled 5,331, including 1,981 basis swaps
  • SONIA traded notional totaled $4.7 trillion, including $56.2 billion of basis swaps. Trade count totaled 16,750, including 329 basis swaps
  • SARON traded notional and trade count was $7.1 billion and 53, respectively
  • TONA traded notional totaled $99.3 billion, including $0.3 billion of basis swaps. Trade count totaled 228, including 6 basis swaps
  • €STR traded notional totaled $45.9 billion, including $0.4 billion of basis swaps. Trade count totaled 336, 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 both decreased by 32%
    • CDX HY traded notional and trade count decreased by 34% and 35%, respectively
    • CDX IG traded notional and trade count decreased by 40% and 37%, respectively
    • iTraxx Europe traded notional and trade count decreased by 19% and 16%, respectively
  • 82% 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 increased by 21%, while trade count decreased by 7%
    • CDX HY traded notional and trade count increased by 73% and 10%, respectively
    • CDX IG traded notional and trade count decreased by 23% and 26%, respectively
    • iTraxx Europe traded notional and trade count increased by 79% and 21%, respectively
  • 84% of total traded notional was cleared vs. 87% last year
  • 84% of total traded notional was executed On SEF vs. 83% last year