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-Clarus RFR Adoption Indicator increased to an all-time high of 20.3% in September compared to 17.5% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives that reference the identified risk-free rates (RFRs) in six major currencies. The latest September report is available here.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 81% and 56%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 130% and 78%, respectively
    • FRAs traded notional and trade count decreased by 44% and 19%, respectively
    • OIS traded notional and trade count increased by 249% and 231%, respectively
  • 74% of total traded notional was cleared vs. 84% last year
  • 56% of total traded notional was executed on SEFs vs. 58% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 7%, while trade count increased by 15%
    • Fixed-for-floating IRS traded notional and trade count increased by 49% and 20%, respectively
    • FRAs traded notional and trade count decreased by 35% and 24%, respectively
    • OIS traded notional decreased by 24%, while trade count increased by 89%
  • 76% of total traded notional was cleared vs. 91% last year
  • 67% of total traded notional was executed on SEFs vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 22, 2021

  • SOFR traded notional totaled $411.9 billion, including $117.6 billion of basis swaps. Trade count totaled 3,597, including 662 basis swaps
  • SONIA traded notional totaled $1.2 trillion, including $20.8 billion of basis swaps. Trade count totaled 3,367, including 166 basis swaps
  • SARON traded notional totaled $10.3 billion, including $1.0 billion of basis swaps. Trade count totaled 205, including 6 basis swaps
  • TONA traded notional totaled $45.1 billion, including $8.2 billion of basis swaps. Trade count totaled 597, including 82 basis swaps
  • €STR traded notional totaled $204.8 billion, including $26.2 billion of basis swaps. Trade count totaled 778, including 112 basis swaps

YTD Ending October 22, 2021

  • SOFR traded notional totaled $4.9 trillion, including $1.6 trillion of basis swaps. Trade count totaled 41,863, including 8,834 basis swaps
  • SONIA traded notional totaled $16.1 trillion, including $243.1 billion of basis swaps. Trade count totaled 70,734, including 1,528 basis swaps
  • SARON traded notional totaled $135.1 billion, including $4.8 billion of basis swaps. Trade count totaled 2,096, including 59 basis swaps
  • TONA traded notional totaled $473.9 billion, including $63.7 billion of basis swaps. Trade count totaled 4,893, including 555 basis swaps
  • €STR traded notional totaled $608.4 billion, including $81.1 billion of basis swaps. Trade count totaled 2,877, including 480 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 126% and 40%, respectively
    • CDX HY traded notional and trade count increased by 73% and 32%, respectively
    • CDX IG traded notional increased by 34%, while trade count decreased by 11%
    • iTraxx Europe traded notional and trade count increased by 264% and 145%, respectively
  • 61% of total traded notional was cleared vs. 81% last year
  • 57% 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 10% and 19%, respectively
    • CDX HY traded notional and trade count decreased by 20% and 23%, respectively
    • CDX IG traded notional and trade count decreased by 24% and 29%, respectively
    • iTraxx Europe traded notional and trade count increased by 20% and 8%, respectively
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year