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.

 

Check out the latest Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021 and SwapsInfo Third Quarter of 2021 and Year-to-September 30, 2021 Full Report

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 67% and 54%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 66% and 31%, respectively
    • FRAs traded notional and trade count increased by 44% and 73%, respectively
    • OIS traded notional and trade count increased by 121% and 337%, respectively
  • 78% of total traded notional was cleared vs. 87% last year
  • 66% of total traded notional was executed on SEFs vs. 54% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 3%, while trade count increased by 17%
    • Fixed-for-floating IRS traded notional and trade count increased by 52% and 21%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 16%, while trade count increased by 107%
  • 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 November 12, 2021

  • SOFR traded notional totaled $445.1 billion, including $112.8 billion of basis swaps. Trade count totaled 3.9 thousand, including 705 basis swaps
  • SONIA traded notional totaled $571.5 billion, including $16.6 billion of basis swaps. Trade count totaled 3.4 thousand, including 130 basis swaps
  • SARON traded notional totaled $16.0 billion, including $1.4 billion of basis swaps. Trade count totaled 381, including 13 basis swaps
  • TONA traded notional totaled $58.3 billion, including $11.5 billion of basis swaps. Trade count totaled 754, including 121 basis swaps
  • €STR traded notional totaled $461.6 billion, including $24.5 billion of basis swaps. Trade count totaled 1.2 thousand, including 147 basis swaps

YTD Ending November 12, 2021

  • SOFR traded notional totaled $6.2 trillion, including $1.9 trillion of basis swaps. Trade count totaled 53.2 thousand, including 11.1 thousand basis swaps
  • SONIA traded notional totaled $18.3 trillion, including $286.2 billion of basis swaps. Trade count totaled 81.9 thousand, including 1.9 thousand basis swaps
  • SARON traded notional totaled $179.3 billion, including $8.6 billion of basis swaps. Trade count totaled 3.1 thousand, including 87 basis swaps
  • TONA traded notional totaled $654.8 billion, including $117.2 billion of basis swaps. Trade count totaled 7.3 thousand, including 1.1 thousand basis swaps
  • €STR traded notional totaled $1.7 trillion, including $141.1 billion of basis swaps. Trade count totaled 6.0 thousand, including 852 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 13% and 14%, respectively.
    • CDX HY traded notional and trade count decreased by 28% and 20%, respectively.
    • CDX IG traded notional and trade count decreased by 33% and 36%, respectively
    • iTraxx Europe traded notional and trade count increased by 8% and 15%, respectively
  • 80% of total traded notional was cleared vs. 86% last year
  • 80% of total traded notional was executed on SEFs vs. 81% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 9% and 18%, 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 21% and 9%, 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