Due to a change in reporting logic within the DTCC SDR on November 21st, 2020, the clearing status was not consistently reported by some participants. As of January 1st, 2021, this reporting issue has been resolved for credit derivatives, but not for interest rate derivatives (IRD). Therefore, clearing metrics for IRD are not included in the below analysis.
Data from ISDA SwapsInfo for the Week Ending January 8, 2021.

 

Interest Rate Derivatives

2021 YTD vs. 2020 YTD

  • Total IRD traded notional and trade count decreased by 42% and 18%, respectively
    • Fixed-for-floating IRS traded notional increased by 14%, while trade count decreased by 2%
    • FRAs traded notional and trade count decreased by 59% and 48%, respectively
    • OIS traded notional and trade count decreased by 43% and 20%, respectively
  • 69% of total traded notional was executed On SEF, flat compared with last year

 

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional decreased by 23%, while trade count increased by 4%
    • Fixed-for-floating IRS traded notional and trade count increased by 48% and 28%, respectively
    • FRAs traded notional and trade count decreased by 45% and 36%, respectively
    • OIS traded notional decreased by 26%, while trade count increased by 2%
  • 69% of total traded notional was executed On SEF vs. 68% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending January 8, 2021

  • SOFR traded notional totaled $49.5 billion, including $28.8 billion of basis swaps. Trade count totaled 379, including 208 basis swaps
  • SONIA traded notional totaled $686.5 billion, including $5.0 billion of basis swaps. Trade count totaled 965, including 42 basis swaps
  • SARON traded notional and trade count was $0.4 billion and 3, respectively
  • TONA traded notional and trade count was $7.5 billion and 15, respectively
  • €STR traded notional and trade count was $3.6 billion and 25, respectively

YTD Ending January 8, 2021

  • SOFR traded notional totaled $49.5 billion, including $28.8 billion of basis swaps. Trade count totaled 379, including 208 basis swaps
  • SONIA traded notional totaled $686.5 billion, including $5.0 billion of basis swaps. Trade count totaled 965, including 42 basis swaps
  • SARON traded notional and trade count was $0.4 billion and 3, respectively
  • TONA traded notional and trade count was $7.5 billion and 15, respectively
  • €STR traded notional and trade count was $3.6 billion and 25, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 31% and 21%, respectively
    • CDX HY traded notional and trade count decreased by 29% and 14%, respectively
    • CDX IG traded notional and trade count decreased by 41% and 26%, respectively
    • iTraxx Europe traded notional and trade count decreased by 19% and 9%, respectively
  • 76% of total traded notional was cleared vs. 75% last year
  • 75% of total traded notional was executed On SEF vs. 72% last year

 

2021 Current Week vs. 2020 Current Week

  • Total credit derivatives traded notional decreased by 10%, while trade count increased by 4%
    • CDX HY traded notional decreased by 5%, while trade count increased by 14%
    • CDX IG traded notional and trade count decreased by 23% and 3%, respectively
    • iTraxx Europe traded notional decreased by 1%, while trade count increased by 17%
  • 76% of total traded notional was cleared vs. 75% last year
  • 75% of total traded notional was executed On SEF vs. 71% last year