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 8% and 7%, respectively
    • Fixed-for-floating IRS traded notional increased by 11%, while trade count decreased by 3%
    • FRAs traded notional and trade count decreased by 17% and 13%, respectively
    • OIS traded notional and trade count increased by 62% and 217%, respectively
  • 79% of total traded notional was cleared vs. 89% last year
  • 70% 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 44% and 16%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 42%, while trade count increased by 61%
  • 76% of total traded notional was cleared vs. 91% last year
  • 69% of total traded notional was executed on SEFs vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending September 3, 2021

  • SOFR traded notional totaled $171.5 billion, including $42.6 billion of basis swaps. Trade count totaled 1,629, including 223 basis swaps
  • SONIA traded notional totaled $118.3 billion, including $2.0 billion of basis swaps. Trade count totaled 1,463, including 20 basis swaps
  • SARON traded notional totaled $3.3 billion, including $0.3 billion of basis swaps. Trade count totaled 84, including 3 basis swaps
  • TONA traded notional totaled $14.0 billion, including $1.8 billion of basis swaps. Trade count totaled 252, including 14 basis swaps
  • €STR traded notional totaled $16.9 billion, including $2.1 billion of basis swaps. Trade count totaled 61, including 16 basis swaps

YTD Ending September 3, 2021

  • SOFR traded notional totaled $2.9 trillion, including $1.0 trillion of basis swaps. Trade count totaled 23,330, including 5,616 basis swaps
  • SONIA traded notional totaled $9.7 trillion, including $156.5 billion of basis swaps. Trade count totaled 51,805, including 886 basis swaps
  • SARON traded notional totaled $65.7 billion, including $0.9 billion of basis swaps. Trade count totaled 861, including 11 basis swaps
  • TONA traded notional totaled $250.5 billion, including $17.2 billion of basis swaps. Trade count totaled 1,938, including 145 basis swaps
  • €STR traded notional totaled $231.9 billion, including $16.8 billion of basis swaps. Trade count totaled 1,202, including 83 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 2% and 23%, respectively
    • CDX HY traded notional and trade count decreased by 28% and 26%, respectively
    • CDX IG traded notional and trade count decreased by 9% and 20%, respectively
    • iTraxx Europe traded notional and trade count increased by 47% and 20%, respectively
  • 79% of total traded notional was cleared vs. 80% last year
  • 78% of total traded notional was executed on SEFs vs. 77% 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