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 July 2021.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 53% and 37%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 100% and 27%, respectively
    • FRAs traded notional increased by 6%, while trade count decreased by 6%
    • OIS traded notional and trade count increased by 71% and 292%, respectively
  • 77% of total traded notional was cleared vs. 88% last year
  • 61% of total traded notional was executed on SEFs vs. 62% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 10%, while trade count increased by 13%
    • 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 23%, respectively
    • OIS traded notional decreased by 35%, while trade count increased by 76%
  • 76% of total traded notional was cleared vs. 91% last year
  • 68% of total traded notional was executed on SEFs vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 1, 2021

  • SOFR traded notional totaled $302.6 billion, including $87.6 billion of basis swaps. Trade count totaled 2,924, including 557 basis swaps
  • SONIA traded notional totaled $735.3 billion, including $14.4 billion of basis swaps. Trade count totaled 2,765, including 116 basis swaps
  • SARON traded notional totaled $9.2 billion, including $0.7 billion of basis swaps. Trade count totaled 196, including 13 basis swaps
  • TONA traded notional totaled $29.6 billion, including $7.3 billion of basis swaps. Trade count totaled 451, including 77 basis swaps
  • €STR traded notional totaled $36.3 billion, including $4.7 billion of basis swaps. Trade count totaled 185, including 55 basis swaps

YTD Ending October 1, 2021

  • SOFR traded notional totaled $3.9 trillion, including $1.3 trillion of basis swaps. Trade count totaled 32,753, including 7,094 basis swaps
  • SONIA traded notional totaled $12.1 trillion, including $199.6 billion of basis swaps. Trade count totaled 61,563, including 1,168 basis swaps
  • SARON traded notional totaled $102.6 billion, including $2.8 billion of basis swaps. Trade count totaled 1,506, including 41 basis swaps
  • TONA traded notional totaled $353.1 billion, including $35.3 billion of basis swaps. Trade count totaled 3,281, including 299 basis swaps
  • €STR traded notional totaled $324.6 billion, including $33.1 billion of basis swaps. Trade count totaled 1,612, including 186 basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 Current Week vs. 2020 Current Week
  • Total credit derivatives traded notional increased by 1%, while trade count decreased by 12%
    • CDX HY traded notional and trade count both increased by 16%
    • CDX IG traded notional and trade count increased by 8% and 1%, respectively
    • iTraxx Europe traded notional and trade count decreased by 58% and 69%, respectively
  • 85% of total traded notional was cleared vs. 87% last year
  • 84% of total traded notional was executed on SEFs vs. 85% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 16% and 24%, respectively
    • CDX HY traded notional and trade count decreased by 23% and 26%, respectively
    • CDX IG traded notional and trade count decreased by 26% and 30%, respectively
    • iTraxx Europe traded notional increased by 3%, while trade count decreased by 5%
  • 81% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year