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.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 66% and 47%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 56% and 29%, respectively
    • FRAs traded notional and trade count decreased by 37% and 35%, respectively
    • OIS traded notional and trade count 182% and 362%, respectively

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 2%, while trade count increased by 18%
    • Fixed-for-floating IRS traded notional and trade count increased by 52% and 21%, respectively
    • FRAs traded notional and trade count decreased by 35% and 24%, respectively
    • OIS traded notional decreased by 12%, while trade count increased by 115%
  • 76% of total traded notional was cleared vs. 90% last year
  • 66% of total traded notional was executed on SEFs vs. 59% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending November 26, 2021

  • SOFR traded notional totaled $420.2 billion, including $86.6 billion of basis swaps. Trade count totaled 4.1 thousand, including 560 basis swaps
  • SONIA traded notional totaled $358.8 billion, including $5.7 billion of basis swaps. Trade count totaled 2.4 thousand, including 72 basis swaps
  • SARON traded notional totaled $13.3 billion, including $2.0 billion of basis swaps. Trade count totaled 270, including 20 basis swaps
  • TONA traded notional totaled $38.3 billion, including $9.8 billion of basis swaps. Trade count totaled 458, including 75 basis swaps
  • €STR traded notional totaled $149.3 billion, including $19.1 billion of basis swaps. Trade count totaled 774, including 151 basis swaps

YTD Ending November 26, 2021

  • SOFR traded notional totaled $7.1 trillion, including $2.2 trillion of basis swaps. Trade count totaled 62.0 thousand, including 12.5 thousand basis swaps
  • SONIA traded notional totaled $19.1 trillion, including $303.2 billion of basis swaps. Trade count totaled 87.4 thousand, including 2.0 thousand basis swaps
  • SARON traded notional totaled $201.3 billion, including $11.4 billion of basis swaps. Trade count totaled 3.5 thousand, including 120 basis swaps
  • TONA traded notional totaled $772.3 billion, including $146.0 billion of basis swaps. Trade count totaled 9.0 thousand, including 1.4 thousand basis swaps
  • €STR traded notional totaled $2.1 trillion, including $186.3 billion of basis swaps. Trade count totaled 7.6 thousand, including 1.2 thousand 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 161% and 108%, respectively
    • CDX HY traded notional and trade count increased by 104% and 73%, respectively
    • CDX IG traded notional and trade count increased by 57% and 25%, respectively
    • iTraxx Europe traded notional and trade count increased by 464% and 281%, respectively

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 7% and 17%, respectively
    • CDX HY traded notional and trade count decreased by 19% and 22%, respectively
    • CDX IG traded notional and trade count decreased by 22% and 28%, respectively
    • iTraxx Europe traded notional and trade count increased by 26% and 13%, respectively
  • 80% of total traded notional was cleared vs. 82% last year
  • 80% of total traded notional was executed on SEFs vs. 78% last year