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 increased to an all-time high of 11.7% in June compared to 10.8% 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 that reference the identified risk-free rates (RFRs) in six major currencies. The latest June report is available here.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 13% and 28%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 93% and 47%, respectively
    • FRAs traded notional and trade count decreased by 51% and 58%, respectively
    • OIS traded notional and trade count increased by 59% and 226%, respectively
  • 77% of total traded notional was cleared vs. 88% last year
  • 65% of total traded notional was executed on SEFs vs. 63% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 15%, while trade count increased by 10%
    • Fixed-for-floating IRS traded notional and trade count increased by 44% and 17%, respectively
    • FRAs traded notional and trade count decreased by 33% and 22%, respectively
    • OIS traded notional decreased by 50%, while trade count increased by 39%
  • 76% of total traded notional was cleared vs. 91% last year
  • 69% of total traded notional was executed on SEFs vs. 59% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 16, 2021

  • SOFR traded notional totaled $92.8 billion, including $46.6 billion of basis swaps. Trade count totaled 720, including 182 basis swaps
  • SONIA traded notional totaled $407.0 billion, including $2.8 billion of basis swaps. Trade count totaled 2,281, including 25 basis swaps
  • SARON traded notional and trade count was $7.7 billion and 59, respectively
  • TONA traded notional totaled $10.3 billion, including $2.1 billion of basis swaps. Trade count totaled 160, including 13 basis swaps
  • €STR traded notional totaled $4.2 billion, including $0.5 billion of basis swaps. Trade count totaled 39, including 2 basis swaps

YTD Ending July 16, 2021

  • SOFR traded notional totaled $1.9 trillion, including $808.8 billion of basis swaps. Trade count totaled 13,363, including 4,380 basis swaps
  • SONIA traded notional totaled $7.9 trillion, including $130.6 billion of basis swaps. Trade count totaled 39,783, including 759 basis swaps
  • SARON traded notional totaled $30.6 billion, including $0.2 billion of basis swaps. Trade count totaled 364, including 5 basis swaps
  • TONA traded notional totaled $164.1 billion, including $5.3 billion of basis swaps. Trade count totaled 768, including 52 basis swaps
  • €STR traded notional totaled $149.8 billion, including $3.2 billion of basis swaps. Trade count totaled 817, including 32 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 increased by 15% and 1%, respectively
    • CDX HY traded notional increased by 1%, while trade count decreased 3%
    • CDX IG traded notional and trade count decreased by 1% and 10%, respectively
    • iTraxx Europe traded notional and trade count increased by 65% and 47%, respectively
  • 80% of total traded notional was cleared vs. 78% last year
  • 78% of total traded notional was executed on SEFs vs. 74% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 24% and 29%, 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 2% and 7%, respectively
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year