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 decreased by 13%, while trade count increased by 20%
    • Fixed-for-floating IRS traded notional and trade count increased by 58% and 35%, respectively
    • FRAs traded notional and trade count decreased by 65% and 54%, respectively
    • OIS traded notional and trade count increased by 26% and 144%, respectively
  • 74% of total traded notional was cleared vs. 89% last year
  • 63% of total traded notional was executed on SEFs vs. 70% 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 32% and 21%, respectively
    • OIS traded notional decreased by 51%, while trade count increased by 35%
  • 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 9, 2021

  • SOFR traded notional totaled $75.7 billion, including $35.7 billion of basis swaps. Trade count totaled 578, including 140 basis swaps
  • SONIA traded notional totaled $190.1 billion, including $1.1 billion of basis swaps. Trade count totaled 1,797, including 14 basis swaps
  • SARON traded notional and trade count was $3.4 billion and 50, respectively
  • TONA traded notional totaled $8.0 billion, including $0.9 billion of basis swaps. Trade count totaled 117, including 3 basis swaps
  • €STR traded notional totaled $6.2 billion, including $0.4 billion of basis swaps. Trade count totaled 42, including 3 basis swaps

YTD Ending July 9, 2021

  • SOFR traded notional totaled $1.8 trillion, including $762.2 billion of basis swaps. Trade count totaled 12,588, including 4,198 basis swaps
  • SONIA traded notional totaled $7.5 trillion, including $127.8 billion of basis swaps. Trade count totaled 37,501, including 734 basis swaps
  • SARON traded notional totaled $22.9 billion, including $0.2 billion of basis swaps. Trade count totaled 305, including 5 basis swaps
  • TONA traded notional totaled $153.9 billion, including $3.2 billion of basis swaps. Trade count totaled 608, including 39 basis swaps
  • €STR traded notional totaled $145.6 billion, including $2.7 billion of basis swaps. Trade count totaled 778, including 30 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 29% and 4%, respectively
    • CDX HY traded notional and trade count decreased by 18% and 19%, respectively
    • CDX IG traded notional increased by 6%, while trade count decreased by 17%
    • iTraxx Europe traded notional and trade count increased by 115% and 79%, respectively
  • 82% of total traded notional was cleared vs. 81% last year
  • 81% of total traded notional was executed on SEFs vs. 78% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 25% 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 6% and 10%, respectively
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed On SEF vs. 79% last year