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 increased by 9% and 36%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 87% and 61%, respectively
    • FRAs traded notional and trade count decreased by 54% and 59%, respectively
    • OIS traded notional and trade count increased by 66% and 232%, respectively
  • 75% of total traded notional was cleared vs. 89% last year
  • 67% of total traded notional was executed on SEFs, flat compared with last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 16%, while trade count increased by 10%
    • Fixed-for-floating IRS traded notional and trade count increased by 43% and 16%, respectively
    • FRAs traded notional and trade count decreased by 31% and 20%, respectively
    • OIS traded notional decreased by 52%, while trade count increased by 33%
  • 76% of total traded notional was cleared vs. 91% last year
  • 70% of total traded notional was executed on SEFs vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 2, 2021

  • SOFR traded notional totaled $65.9 billion, including $18.7 billion of basis swaps. Trade count totaled 526, including 135 basis swaps
  • SONIA traded notional totaled $223.8 billion, including $1.8 billion of basis swaps. Trade count totaled 1,830, including 19 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 31, respectively
  • TONA traded notional totaled $2.3 billion, including $0.5 billion of basis swaps. Trade count totaled 34, including 6 basis swaps
  • €STR traded notional and trade count was $8.0 billion and 41, respectively

YTD Ending July 2, 2021

  • SOFR traded notional totaled $1.7 trillion, including $726.5 billion of basis swaps. Trade count totaled 11,976, including 4,058 basis swaps
  • SONIA traded notional totaled $7.3 trillion, including $126.7 billion of basis swaps. Trade count totaled 35,704, including 720 basis swaps
  • SARON traded notional totaled $19.6 billion, including $0.2 billion of basis swaps. Trade count totaled 255, including 5 basis swaps
  • TONA traded notional totaled $145.9 billion, including $2.3 billion of basis swaps. Trade count totaled 491, including 36 basis swaps
  • €STR traded notional totaled $139.4 billion, including $2.3 billion of basis swaps. Trade count totaled 736, including 27 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 4% and 21%, respectively
    • CDX HY traded notional and trade count decreased by 46% and 41%, respectively
    • CDX IG traded notional and trade count decreased by 28% and 34%, respectively
    • iTraxx Europe traded notional and trade count increased by 48% and 9%, respectively
  • 79% of total traded notional was cleared vs. 85% last year
  • 78% of total traded notional was executed on SEFs vs. 82% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 26% and 30%, respectively
    • CDX HY traded notional and trade count both decreased by 34%
    • CDX IG traded notional and trade count decreased by 36% and 37%, respectively
    • iTraxx Europe traded notional and trade count decreased by 5% and 9%, 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