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 has expanded its SwapsInfo analysis to include interest rate derivatives trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements and trading venues. Click here to read the full report for June 2021.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 9% and 6%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 26% and 0.3%, respectively
    • FRAs traded notional and trade count decreased by 42% and 31%, respectively
    • OIS traded notional and trade count increased by 58% and 149%, respectively
  • 77% of total traded notional was cleared vs. 89% last year
  • 66% of total traded notional was executed on SEFs vs. 65% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 13%, 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 35% and 24%, respectively
    • OIS traded notional decreased by 43%, while trade count increased by 57%
  • 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 27, 2021

  • SOFR traded notional totaled $179.1 billion, including $41.6 billion of basis swaps. Trade count totaled 1,665, including 215 basis swaps
  • SONIA traded notional totaled $257.7 billion, including $3.8 billion of basis swaps. Trade count totaled 1,736, including 25 basis swaps
  • SARON traded notional totaled $8.0 billion, including $0.3 billion of basis swaps. Trade count totaled 106, including 2 basis swaps
  • TONA traded notional totaled $15.6 billion, including $3.2 billion of basis swaps. Trade count totaled 199, including 21 basis swaps
  • €STR traded notional totaled $16.8 billion, including $3.5 billion of basis swaps. Trade count totaled 56, including 12 basis swaps

YTD Ending August 27, 2021

  • SOFR traded notional totaled $2.7 trillion, including $994.8 billion of basis swaps. Trade count totaled 21,680, including 5,393 basis swaps
  • SONIA traded notional totaled $9.6 trillion, including $154.5 billion of basis swaps. Trade count totaled 50,339, including 866 basis swaps
  • SARON traded notional totaled $62.4 billion, including $0.6 billion of basis swaps. Trade count totaled 777, including 8 basis swaps
  • TONA traded notional totaled $236.8 billion, including $15.4 billion of basis swaps. Trade count totaled 1,687, including 131 basis swaps
  • €STR traded notional totaled $215.0 billion, including $14.7 billion of basis swaps. Trade count totaled 1,141, including 67 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 36% and 12%, respectively
    • CDX HY traded notional and trade count both decreased by 7%
    • CDX IG traded notional and trade count increased by 36% and 13%, respectively
    • iTraxx Europe traded notional and trade count increased by 103% and 41%, respectively
  • 80% of total traded notional was cleared vs. 76% last year.
  • 80% of total traded notional was executed on SEFs vs. 71% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 18% and 24%, respectively
    • CDX HY traded notional and trade count decreased by 27% and 28%, respectively
    • CDX IG traded notional and trade count decreased by 30% and 32%, respectively
    • iTraxx Europe traded notional increased by 7%, while trade count decreased by 1%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year