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 is expanding its SwapsInfo analysis to include interest rate derivatives (IRD) trading activity reported in Europe. The analysis, believed to be the first of its kind, is based on transactions publicly reported by 30 European approved publication arrangements and trading venues for May 2021. Click here to read the full report.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 1% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 56% and 10%, respectively
    • FRAs traded notional and trade count decreased by 49% and 37%, respectively
    • OIS traded notional and trade count increased by 29% and 224%, respectively
  • 79% of total traded notional was cleared vs. 91% last year
  • 70% of total traded notional was executed on SEFs vs. 69% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 14%, while trade count increased by 11%
    • Fixed-for-floating IRS traded notional and trade count increased by 45% and 17%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 44%, while trade count increased by 55%
  • 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 August 20, 2021

  • SOFR traded notional totaled $161.3 billion, including $19.8 billion of basis swaps. Trade count totaled 1,647, including 138 basis swaps
  • SONIA traded notional totaled $224.8 billion, including $3.7 billion of basis swaps. Trade count totaled 1,582, including 21 basis swaps
  • SARON traded notional totaled $5.6 billion, including $0.1 billion of basis swaps. Trade count totaled 70, including 1 basis swap
  • TONA traded notional totaled $16.3 billion, including $2.0 billion of basis swaps. Trade count totaled 183, including 21 basis swaps
  • €STR traded notional totaled $8.6 billion, including $2.3 billion of basis swaps. Trade count totaled 40, including 6 basis swaps

YTD Ending August 20, 2021

  • SOFR traded notional totaled $2.6 trillion, including $953.2 billion of basis swaps. Trade count totaled 19,983, including 5,178 basis swaps
  • SONIA traded notional totaled $9.4 trillion, including $150.7 billion of basis swaps. Trade count totaled 48,605, including 841 basis swaps
  • SARON traded notional totaled $54.3 billion, including $0.3 billion of basis swaps. Trade count totaled 671, including 6 basis swaps
  • TONA traded notional totaled $221.2 billion, including $12.2 billion of basis swaps. Trade count totaled 1,488, including 110 basis swaps
  • €STR traded notional totaled $198.3 billion, including $11.2 billion of basis swaps. Trade count totaled 1,085, including 55 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 70% and 39%, respectively
    • CDX HY traded notional and trade count increased by 62% and 52%, respectively
    • CDX IG traded notional and trade count increased by 56% and 18%, respectively
    • iTraxx Europe traded notional and trade count increased by 83% and 43%, respectively
  • 79% of total traded notional was cleared vs. 80% last year
  • 78% of total traded notional was executed on SEFs vs. 76% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 19% and 25%, respectively
    • CDX HY traded notional and trade count both decreased by 28%
    • CDX IG traded notional and trade count decreased by 30% and 33%, respectively
    • iTraxx Europe traded notional increased by 6%, while trade count decreased by 2%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year