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: First Quarter of 2021 and SwapsInfo First Quarter of 2021 Review: Summary.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional decreased by 13%, while trade count increased by 11%
    • Fixed-for-floating IRS traded notional and trade count increased by 52% and 20%, respectively
    • FRAs traded notional and trade count decreased by 43% and 42%, respectively
    • OIS traded notional decreased by 38%, while trade count increased by 87%
  • 74% of total traded notional was cleared vs. 92% last year
  • 70% of total traded notional was executed On SEF vs. 63% 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 28% and 9%, respectively
    • OIS traded notional decreased by 59%, while trade count increased by 13%
  • 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 30, 2021

  • SOFR traded notional totaled $90.3 billion, including $37.1 billion of basis swaps. Trade count totaled 576, including 207 basis swaps
  • SONIA traded notional totaled $170.2 billion, including $1.4 billion of basis swaps. Trade count totaled 1,482, including 9 basis swaps
  • SARON traded notional and trade count was $0.9 billion and 19, respectively
  • TONA traded notional and trade count was $0.5 billion and 7, respectively
  • €STR traded notional and trade count was $25.5 billion and 44, respectively

YTD Ending April 30, 2021

  • SOFR traded notional totaled $1.1 trillion, including $499.0 billion of basis swaps. Trade count totaled 7,756, including 2,977 basis swaps
  • SONIA traded notional totaled $5.3 trillion, including $76.7 billion of basis swaps. Trade count totaled 21,837, including 419 basis swaps
  • SARON traded notional and trade count was $9.1 billion and 91, respectively
  • TONA traded notional totaled $107.1 billion, including $0.1 billion of basis swaps. Trade count totaled 266, including 2 basis swaps
  • €STR traded notional totaled $90.7 billion, including $0.4 billion of basis swaps. Trade count totaled 433, 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 and trade count decreased by 17% and 33%, respectively
    • CDX HY traded notional and trade count decreased by 29% and 40%, respectively
    • CDX IG traded notional and trade count decreased by 20% and 34%, respectively
    • iTraxx Europe traded notional and trade count decreased by 1% and 20%, respectively
  • 74% of total traded notional was cleared vs. 81% last year
  • 76% of total traded notional was executed On SEF, flat compared with 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 32% 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%
  • 81% of total traded notional was cleared vs. 83% last year
  • 81% of total traded notional was executed On SEF vs. 79% last year