Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending October 29, 2021

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. The Transition to Risk-free Rates (RFRs) Review analyzes the trading volumes of over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average, the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate, the Euro Short-Term Rate and the Australian Overnight Index Average.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

Total IRD traded notional and trade count increased by 51% and 65%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 134% and 60%, respectively
- FRAs traded notional and trade count decreased by 67% and 52%, respectively
- OIS traded notional and trade count increased by 174% and 382%, respectively
77% of total traded notional was cleared vs. 90% last year
63% of total traded notional was executed on SEFs vs. 66% last year

2021 YTD vs. 2020 YTD

Total IRD traded notional decreased by 5%, while trade count increased by 16%
- Fixed-for-floating IRS traded notional and trade count increased by 50% and 20%, respectively
- FRAs traded notional and trade count decreased by 35% and 25%, respectively
- OIS traded notional decreased by 21%, while trade count increased by 96%
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 29, 2021

SOFR traded notional totaled $398.1 billion, including $107.2 billion of basis swaps. Trade count totaled 3.8 thousand, including 742 basis swaps
SONIA traded notional totaled $685.8 billion, including $17.0 billion of basis swaps. Trade count totaled 3.7 thousand, including 128 basis swaps
SARON traded notional totaled $12.9 billion, including $1.3 billion of basis swaps. Trade count totaled 287, including 10 basis swaps
TONA traded notional totaled $58.4 billion, including $24.9 billion of basis swaps. Trade count totaled 825, including 239 basis swaps
€STR traded notional totaled $311.6 billion, including $19.5 billion of basis swaps. Trade count totaled 845, including 112 basis swaps

YTD Ending October 29, 2021

SOFR traded notional totaled $5.3 trillion, including $1.7 billion of basis swaps. Trade count totaled 45.7 thousand, including 9.6 thousand basis swaps
SONIA traded notional totaled $16.7 trillion, including $259.3 billion of basis swaps. Trade count totaled 74.4 thousand, including 1.7 thousand basis swaps
SARON traded notional totaled $148.0 billion, including $6.1 billion of basis swaps. Trade count totaled 2.4 thousand, including 69 basis swaps
TONA traded notional totaled $532.4 billion, including $88.6 billion of basis swaps. Trade count totaled 5.7 thousand, including 794 basis swaps
€STR traded notional totaled $917.7 billion, including $100.2 billion of basis swaps. Trade count totaled 3.7 thousand, including 592 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 3% and 14%, respectively
- CDX HY traded notional and trade count decreased by 28% and 32%, respectively
- CDX IG traded notional and trade count decreased by 20% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 29% and 10%, respectively
80% of total traded notional was cleared vs. 83% last year
79% of total traded notional was executed on SEFs vs. 78% last year