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 99% and 60%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 101% and 37%, respectively
    • FRAs traded notional and trade count increased by 26% and 48%, respectively
    • OIS traded notional and trade count increased by 167% and 376%, respectively
  • 77% of total traded notional was cleared vs. 85% last year
  • 58% of total traded notional was executed on SEFs vs. 60% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 4%, while trade count increased by 17%
    • Fixed-for-floating IRS traded notional and trade count increased by 51% and 21%, respectively
    • FRAs traded notional and trade count decreased by 35% and 24%, respectively
    • OIS traded notional decreased by 18%, while trade count increased by 102%
  • 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 5, 2021

  • SOFR traded notional totaled $418.4 billion, including $136.1 billion of basis swaps. Trade count totaled 3.6 thousand, including 784 basis swaps
  • SONIA traded notional totaled $942.4 billion, including $11.1 billion of basis swaps. Trade count totaled 4.1 thousand, including 69 basis swaps
  • SARON traded notional totaled $15.4 billion, including $1.1 billion of basis swaps. Trade count totaled 287, including 10 basis swaps
  • TONA traded notional totaled $66.1 billion, including $19.0 billion of basis swaps. Trade count totaled 843, including 217 basis swaps
  • €STR traded notional totaled $342.2 billion, including $18.0 billion of basis swaps. Trade count totaled 1.1 thousand, including 114 basis swaps

YTD Ending November 5, 2021

  • SOFR traded notional totaled $5.7 trillion, including $1.8 billion of basis swaps. Trade count totaled 49.3 thousand, including 10.4 thousand basis swaps
  • SONIA traded notional totaled $17.7 trillion, including $270.6 billion of basis swaps. Trade count totaled 78.5 thousand, including 1.7 thousand basis swaps
  • SARON traded notional totaled $163.3 billion, including $7.2 billion of basis swaps. Trade count totaled 2.7 thousand, including 74 basis swaps
  • TONA traded notional totaled $598.3 billion, including $107.6 billion of basis swaps. Trade count totaled 6.6 thousand, including 1.0 thousand basis swaps
  • €STR traded notional totaled $1.3 trillion, including $117.3 billion of basis swaps. Trade count totaled 4.9 thousand, including 708 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 10%, while trade count decreased by 7%
    • CDX HY traded notional increased by 7%, while trade count decreased by 11%
    • CDX IG traded notional and trade count decreased by 17% and 36%, respectively
    • iTraxx Europe traded notional and trade count increased by 49% and 22%, respectively
  • 82% of total traded notional was cleared vs. 83% last year
  • 81% of total traded notional was executed on SEFs vs. 79% 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 23% 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