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 21% and 35%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 16% and 20%, respectively
    • FRAs traded notional and trade count increased by 7% and 32%, respectively
    • OIS traded notional and trade count increased by 42% and 207%, respectively
  • 76% of total traded notional was cleared vs. 90% last year
  • 63% of total traded notional was executed on SEFs vs. 55% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 12%, while trade count increased by 11%
    • Fixed-for-floating IRS traded notional and trade count increased by 43% and 16%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 41%, while trade count increased by 64%
  • 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 September 10, 2021

  • SOFR traded notional totaled $158.7 billion, including $42.2 billion of basis swaps. Trade count totaled 1,703, including 210 basis swaps
  • SONIA traded notional totaled $364.6 billion, including $6.0 billion of basis swaps. Trade count totaled 2,068, including 31 basis swaps
  • SARON traded notional totaled $7.6 billion, including $0.3 billion of basis swaps. Trade count totaled 127, including 6 basis swaps
  • TONA traded notional totaled $28.4 billion, including $2.9 billion of basis swaps. Trade count totaled 394, including 30 basis swaps
  • €STR traded notional totaled $10.0 billion, including $1.6 billion of basis swaps. Trade count totaled 58, including 8 basis swaps

YTD Ending September 10, 2021

  • SOFR traded notional totaled $3.1 trillion, including $1.1 trillion of basis swaps. Trade count totaled 25,071, including 5,826 basis swaps
  • SONIA traded notional totaled $10.1 trillion, including $162.5 billion of basis swaps. Trade count totaled 53,873, including 917 basis swaps
  • SARON traded notional totaled $73.2 billion, including $1.2 billion of basis swaps. Trade count totaled 988, including 17 basis swaps
  • TONA traded notional totaled $279.2 billion, including $20.1 billion of basis swaps. Trade count totaled 2,332, including 175 basis swaps
  • €STR traded notional totaled $242.0 billion, including $18.4 billion of basis swaps. Trade count totaled 1,260, including 91 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 8% and 25%, respectively
    • CDX HY traded notional and trade count decreased by 36% and 42%, respectively
    • CDX IG traded notional and trade count decreased by 35% and 48%, respectively
    • iTraxx Europe traded notional and trade count increased by 19% and 2%, respectively
  • 74% of total traded notional was cleared vs. 82% last year
  • 73% of total traded notional was executed on SEFs vs. 79% 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 29% 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