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 decreased to 8.8% in March compared to 10.6% 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 March report is available here.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

• Total IRD traded notional and trade count decreased by 33% and 8%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 28% and 14%, respectively
  • FRAs traded notional and trade count decreased by 66% and 65%, respectively
  • OIS traded notional decreased by 39%, while trade count increased by 37%
• 76% of total traded notional was cleared vs. 93% last year
• 72% of total traded notional was executed On SEF vs. 69% last year

2021 YTD vs. 2020 YTD

• Total IRD traded notional decreased by 19%, while trade count increased by 11%
  • Fixed-for-floating IRS traded notional and trade count increased by 42% and 16%, respectively
  • FRAs traded notional and trade count decreased by 27% and 6%, respectively
  • OIS traded notional decreased by 60%, while trade count increased by 10%
• 75% of total traded notional was cleared vs. 91% last year
• 69% of total traded notional was executed On SEF vs. 56% last year

Interest Rate Derivatives: Benchmark Data

Week Ending April 23, 2021

• SOFR traded notional totaled $51.0 billion, including $16.4 billion of basis swaps. Trade count totaled 334, including 104 basis swaps
• SONIA traded notional totaled $101.1 billion, including $3.7 billion of basis swaps. Trade count totaled 1,050, including 17 basis swaps
• SARON traded notional and trade count was $0.2 billion and 5, respectively
• TONA traded notional and trade count was $4.8 billion and 18, respectively
• €STR traded notional and trade count was $7.7 billion and 19, respectively

YTD Ending April 23, 2021

• SOFR traded notional totaled $1.0 trillion, including $459.6 billion of basis swaps. Trade count totaled 7,150, including 2,768 basis swaps
• SONIA traded notional totaled $5.1 trillion, including $75.3 billion of basis swaps. Trade count totaled 20,353, including 410 basis swaps
• SARON traded notional and trade count was $8.2 billion and 72, respectively
• TONA traded notional totaled $106.6 billion, including $0.1 billion of basis swaps. Trade count totaled 259, including 2 basis swaps
• €STR traded notional totaled $65.3 billion, including $0.4 billion of basis swaps. Trade count totaled 389, including 7 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 5%, while trade count decreased by 18%
  • CDX HY traded notional and trade count decreased by 9% and 23%, respectively
  • CDX IG traded notional increased by 2%, while trade count decreased by 13%
  • iTraxx Europe traded notional and trade count increased by 52% and 15%, respectively
• 78% of total traded notional was cleared vs. 82% last year
• 77% of total traded notional was executed On SEF vs. 79% last year

2021 YTD vs. 2020 YTD

• Total credit derivatives traded notional and trade count decreased by 30% and 32%, respectively
  • CDX HY traded notional and trade count decreased by 33% and 34%, respectively
  • CDX IG traded notional and trade count decreased by 38% and 36%, respectively
  • iTraxx Europe traded notional and trade count both decreased by 14%
• 82% of total traded notional was cleared vs. 83% last year
• 81% of total traded notional was executed On SEF vs. 79% last year