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.

 

ISDA has expanded its SwapsInfo analysis to include interest rate derivatives trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements and trading venues. Click here to read the full report for July 2021.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count increased by 28% and 31%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 95% and 40%, respectively
    • FRAs traded notional and trade count decreased by 63% and 57%, respectively
    • OIS traded notional and trade count increased by 110% and 223%, respectively
  • 75% of total traded notional was cleared vs. 88% last year
  • 56% of total traded notional was executed on SEFs vs. 64% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 10%, while trade count increased by 13%
    • Fixed-for-floating IRS traded notional and trade count increased by 46% and 17%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 33%, while trade count increased by 80%
  • 76% of total traded notional was cleared vs. 91% last year
  • 68% of total traded notional was executed on SEFs vs. 60% last year

 

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 8, 2021

  • SOFR traded notional totaled $268.3 billion, including $84.3 billion of basis swaps. Trade count totaled 2,661, including 525 basis swaps
  • SONIA traded notional totaled $1.0 trillion, including $11.0 billion of basis swaps. Trade count totaled 2,298, including 106 basis swaps
  • SARON traded notional totaled $9.1 billion, including $0.7 billion of basis swaps. Trade count totaled 174, including 9 basis swaps
  • TONA traded notional totaled $40.3 billion, including $9.5 billion of basis swaps. Trade count totaled 511, including 88 basis swaps
  • €STR traded notional totaled $34.8 billion, including $10.0 billion of basis swaps. Trade count totaled 191, including 82 basis swaps

YTD Ending October 8, 2021

  • SOFR traded notional totaled $4.1 trillion, including $1.4 trillion of basis swaps. Trade count totaled 35,403, including 7,613 basis swaps
  • SONIA traded notional totaled $13.2 trillion, including $209.9 billion of basis swaps. Trade count totaled 63,855, including 1,273 basis swaps
  • SARON traded notional totaled $111.5 billion, including $3.5 billion of basis swaps. Trade count totaled 1,679, including 50 basis swaps
  • TONA traded notional totaled $393.5 billion, including $44.7 billion of basis swaps. Trade count totaled 3,793, including 387 basis swaps
  • €STR traded notional totaled $358.2 billion, including $42.0 billion of basis swaps. Trade count totaled 1,797, including 263 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 6%, while trade count decreased by 3%
    • CDX HY traded notional and trade count increased by 25% and 31%, respectively
    • CDX IG traded notional increased by 16%, while trade count decreased by 2%
    • iTraxx Europe traded notional and trade count decreased by 55% and 70%, respectively
  • 76% of total traded notional was cleared vs. 82% last year
  • 75% 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 16% and 23%, respectively
    • CDX HY traded notional and trade count decreased by 22% and 25%, respectively
    • CDX IG traded notional and trade count decreased by 25% and 30%, respectively
    • iTraxx Europe traded notional increased by 2%, while trade count decreased by 6%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year