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 Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2021.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 58% and 28%, respectively
    • Fixed-for-floating IRS traded notional increased by 21%, while trade count decreased by 0.2%
    • FRAs traded notional and trade count increased by 29% and 21%, respectively
    • OIS traded notional and trade count increased by 191% and 345%, respectively

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 1%, while trade count increased by 18%
    • 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 10%, while trade count increased by 120%
  • 76% of total traded notional was cleared vs. 88% last year
  • 66% of total traded notional was executed on SEFs vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending December 3, 2021

  • SOFR traded notional totaled $577.3 billion, including $128.7 billion of basis swaps. Trade count totaled 5.6 thousand, including 910 basis swaps
  • SONIA traded notional totaled $374.2 billion, including $14.5 billion of basis swaps. Trade count totaled 3.9 thousand, including 138 basis swaps
  • SARON traded notional totaled $16.3 billion, including $2.9 billion of basis swaps. Trade count totaled 374, including 17 basis swaps
  • TONA traded notional totaled $38.4 billion, including $14.7 billion of basis swaps. Trade count totaled 614, including 187 basis swaps
  • €STR traded notional totaled $237.7 billion, including $28.6 billion of basis swaps. Trade count totaled 897, including 223 basis swaps

YTD Ending December 3, 2021

  • SOFR traded notional totaled $7.6 trillion, including $2.3 trillion of basis swaps. Trade count totaled 67.7 thousand, including 13.5 thousand basis swaps
  • SONIA traded notional totaled $19.4 trillion, including $317.8 billion of basis swaps. Trade count totaled 91.2 thousand, including 2.2 thousand basis swaps
  • SARON traded notional totaled $217.5 billion, including $14.3 billion of basis swaps. Trade count totaled 3.9 thousand, including 137 basis swaps
  • TONA traded notional totaled $811.0 billion, including $160.7 billion of basis swaps. Trade count totaled 9.7 thousand, including 1.6 thousand basis swaps
  • €STR traded notional totaled $2.3 trillion, including $214.9 billion of basis swaps. Trade count totaled 8.5 thousand, including 1.4 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 174% and 136%, respectively
    • CDX HY traded notional and trade count increased by 127% and 116%, respectively
    • CDX IG traded notional and trade count increased by 112% and 78%, respectively
    • iTraxx Europe traded notional and trade count increased by 436% and 286%, respectively

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 4% and 14%, respectively
    • CDX HY traded notional and trade count decreased by 16% and 20%, respectively
    • CDX IG traded notional and trade count decreased by 20% and 27%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 16%, respectively
  • 81% of total traded notional was cleared, flat compared with last year
  • 80% of total traded notional was executed on SEFs vs. 77% last year