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 Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: September 2021.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 43% and 34%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 40% and 7%, respectively
    • FRAs traded notional and trade count decreased by 43% and 38%, respectively
    • OIS traded notional and trade count increased by 109% and 309%, respectively

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 0.1%, while trade count increased by 19%
    • 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 24%, respectively
    • OIS traded notional decreased by 7%, while trade count increased by 129%
  • 76% of total traded notional was cleared vs. 87% last year
  • 66% of total traded notional was executed on SEFs vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending December 17, 2021

  • SOFR traded notional totaled $577.3 billion, including $152.1 billion of basis swaps. Trade count totaled 5.8 thousand, including 709 basis swaps
  • SONIA traded notional totaled $546.5 billion, including $11.3 billion of basis swaps. Trade count totaled 2.4 thousand, including 144 basis swaps
  • SARON traded notional totaled $11.2 billion, including $0.3 billion of basis swaps. Trade count totaled 248, including 2 basis swaps
  • TONA traded notional totaled $50.7 billion, including $9.6 billion of basis swaps. Trade count totaled 571, including 47 basis swaps
  • €STR traded notional totaled $305.8 billion, including $21.5 billion of basis swaps. Trade count totaled 795, including 141 basis swaps

YTD Ending December 17, 2021

  • SOFR traded notional totaled $8.8 trillion, including $2.6 trillion of basis swaps. Trade count totaled 79.8 thousand, including 15.1 thousand basis swaps
  • SONIA traded notional totaled $20.3 trillion, including $339.6 billion of basis swaps. Trade count totaled 96.5 thousand, including 2.5 thousand basis swaps
  • SARON traded notional totaled $239.5 billion, including $16.0 billion of basis swaps. Trade count totaled 4.5 thousand, including 154 basis swaps
  • TONA traded notional totaled $942.0 billion, including $185.7 billion of basis swaps. Trade count totaled 11.1 thousand, including 1.8 thousand basis swaps
  • €STR traded notional totaled $2.8 trillion, including $271.3 billion of basis swaps. Trade count totaled 10.3 thousand, including 1.8 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 105% and 69%, respectively
    • CDX HY traded notional and trade count increased by 84% and 30%, respectively
    • CDX IG traded notional and trade count increased by 113% and 68%, respectively
    • iTraxx Europe traded notional and trade count increased by 252% and 206%, respectively

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 2% and 12%, respectively
    • CDX HY traded notional and trade count decreased by 14% and 18%, respectively
    • CDX IG traded notional and trade count decreased by 18% and 25%, respectively
    • iTraxx Europe traded notional and trade count increased by 33% and 19%, respectively
  • 81% of total traded notional was cleared vs. 79% last year
  • 80% of total traded notional was executed on SEFs vs. 77% last year