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 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count decreased by 34% and 15%, respectively
    • Fixed-for-floating IRS traded notional increased by 7%, while trade count decreased by 5%,
    • FRAs traded notional and trade count decreased by 67% and 66%, respectively
    • OIS traded notional decreased by 26%, while trade count increased by 69%
  • 76% of total traded notional was cleared vs. 90% last year
  • 70% of total traded notional was executed On SEF vs. 67% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 19%, while trade count increased by 7%
    • Fixed-for-floating IRS traded notional and trade count increased by 38% and 13%, respectively
    • FRAs traded notional and trade count decreased by 30% and 16%, respectively
    • OIS traded notional decreased by 57%, while trade count increased by 19%
  • 75% of total traded notional was cleared vs. 91% last year
  • 70% of total traded notional was executed On SEF vs. 57% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 4, 2021

  • SOFR traded notional totaled $49.2 billion, including $13.0 billion of basis swaps. Trade count totaled 378, including 98 basis swaps
  • SONIA traded notional totaled $170.4 billion, including $1.8 billion of basis swaps. Trade count totaled 1,330, including 15 basis swaps
  • SARON traded notional totaled $0.9 billion, including $0.1 billion of basis swaps. Trade count totaled 25, including 3 basis swaps
  • TONA traded notional totaled $0.8 billion, including $0.1 billion of basis swaps. Trade count totaled 6, including 1 basis swap
  • €STR traded notional totaled $7.1 billion, including $0.1 billion of basis swaps. Trade count totaled 33, including 1 basis swap

YTD Ending June 4, 2021

  • SOFR traded notional totaled $1.4 trillion, including $617.7 billion of basis swaps. Trade count totaled 9,628, including 3,449 basis swaps
  • SONIA traded notional totaled $6.0 trillion, including $111.2 billion of basis swaps. Trade count totaled 28,230, including 642 basis swaps
  • SARON traded notional totaled $11.7 billion, including $0.2 billion of basis swaps. Trade count totaled 141, including 5 basis swaps
  • TONA traded notional totaled $124.4 billion, including $1.6 billion of basis swaps. Trade count totaled 346, including 28 basis swaps
  • €STR traded notional totaled $119.5 billion, including $1.7 billion of basis swaps. Trade count totaled 595, including 21 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 40% and 46%, respectively
    • CDX HY traded notional and trade count decreased by 62% and 53%, respectively
    • CDX IG traded notional and trade count decreased by 50% and 52%, respectively
    • iTraxx Europe traded notional and trade count decreased by 22% and 31%, respectively
  • 76% of total traded notional was cleared vs. 84% last year
  • 74% of total traded notional was executed On SEF vs. 81% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 27% and 30%, respectively
    • CDX HY traded notional and trade count both decreased by 33%
    • CDX IG traded notional and trade count decreased by 35% and 36%, respectively
    • iTraxx Europe traded notional and trade count decreased by 7% and 10%, 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