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. 

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count decreased by 42% and 13%, respectively
    • Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 0.1%
    • FRAs traded notional and trade count both decreased by 76%
    • OIS traded notional decreased by 47%, while trade count increased by 54%
  • 71% of total traded notional was cleared vs. 91% last year
  • 66% of total traded notional was executed On SEF vs. 65% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 20%, while trade count increased by 10%
    • Fixed-for-floating IRS traded notional and trade count increased by 40% and 15%, respectively
    • FRAs traded notional and trade count decreased by 30% and 13%, respectively
    • OIS traded notional decreased by 59%, while trade count increased by 15%
  • 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 May 7, 2021

  • SOFR traded notional totaled $50.7 billion, including $25.2 billion of basis swaps. Trade count totaled 346, including 99 basis swaps
  • SONIA traded notional totaled $192.4 billion, including $2.5 billion of basis swaps. Trade count totaled 1,185, including 13 basis swaps
  • SARON traded notional and trade count was $0.5 billion and 8, respectively
  • TONA traded notional and trade count was $0.3 billion and 11, respectively
  • €STR traded notional and trade count was $6.4 billion and 18, respectively

YTD Ending May 7, 2021

  • SOFR traded notional totaled $1.2 trillion, including $524.4 billion of basis swaps. Trade count totaled 8,163, including 3,078 basis swaps
  • SONIA traded notional totaled $5.5 trillion, including $79.2 billion of basis swaps. Trade count totaled 23,023, including 432 basis swaps
  • SARON traded notional and trade count was $9.6 billion and 99, respectively
  • TONA traded notional totaled $107.4 billion, including $0.1 billion of basis swaps. Trade count totaled 277, including 2 basis swaps
  • €STR traded notional totaled $97.1 billion, including $0.4 billion of basis swaps. Trade count totaled 451, 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 8%, while trade count decreased by 7%
    • CDX HY traded notional and trade count decreased by 15% and 12%, respectively
    • CDX IG traded notional increased by 6%, while trade count decreased by 15%
    • iTraxx Europe traded notional and trade count increased by 37% and 15%, respectively
  • 81% of total traded notional was cleared vs. 78% last year
  • 82% of total traded notional was executed On SEF vs. 77% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 29% and 31%, respectively
    • CDX HY traded notional and trade count decreased by 32% and 34%, respectively
    • CDX IG traded notional and trade count decreased by 37% and 36%, respectively
    • iTraxx Europe traded notional and trade count decreased by 12% and 13%, respectively
  • 81% of total traded notional was cleared vs. 83% last year
  • 81% of total traded notional was executed On SEF vs. 79% last year