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-Clarus RFR Adoption Indicator increased to an all-time high of 17.5% in August compared to 14.1% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives that reference the identified risk-free rates (RFRs) in six major currencies. The latest August report is available here.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional decreased by 10%, while trade count increased by 9%
    • Fixed-for-floating IRS traded notional and trade count increased by 47% and 15%, respectively
    • FRAs traded notional and trade count decreased by 74% and 68%, respectively
    • OIS traded notional and trade count increased by 53% and 237%, respectively
  • 75% of total traded notional was cleared vs. 92% last year
  • 57% of total traded notional was executed on SEFs vs. 66% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 11%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional and trade count increased by 44% and 17%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 37%, while trade count increased by 72%
  • 76% of total traded notional was cleared vs. 91% last year
  • 69% of total traded notional was executed on SEFs vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending September 24, 2021

  • SOFR traded notional totaled $262.2 billion, including $49.7 billion of basis swaps. Trade count totaled 2,462, including 384 basis swaps
  • SONIA traded notional totaled $792.5 billion, including $14.5 billion of basis swaps. Trade count totaled 2,788, including 98 basis swaps
  • SARON traded notional totaled $11.2 billion, including $0.7 billion of basis swaps. Trade count totaled 172, including 9 basis swaps
  • TONA traded notional totaled $26.5 billion, including $5.5 billion of basis swaps. Trade count totaled 216, including 38 basis swaps
  • €STR traded notional totaled $16.8 billion, including $4.1 billion of basis swaps. Trade count totaled 95, including 31 basis swaps

YTD Ending September 17, 2021

  • SOFR traded notional totaled $3.6 trillion, including $1.2 trillion of basis swaps. Trade count totaled 29,808, including 6,536 basis swaps
  • SONIA traded notional totaled $11.4 trillion, including $185.2 billion of basis swaps. Trade count totaled 58,796, including 1,052 basis swaps
  • SARON traded notional totaled $93.3 billion, including $2.1 billion of basis swaps. Trade count totaled 1,308, including 28 basis swaps
  • TONA traded notional totaled $323.5 billion, including $28.0 billion of basis swaps. Trade count totaled 2,830, including 222 basis swaps
  • €STR traded notional totaled $288.0 billion, including $28.2 billion of basis swaps. Trade count totaled 1,426, including 130 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 11% and 29%, respectively
    • CDX HY traded notional and trade count decreased by 15% and 29%, respectively
    • CDX IG traded notional increased by 2%, while trade count decreased by 11%
    • iTraxx Europe traded notional and trade count decreased by 30% and 37%, respectively
  • 86% of total traded notional was cleared vs. 85% last year
  • 85% of total traded notional was executed on SEFs vs. 82% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 17% and 24%, respectively
    • CDX HY traded notional and trade count decreased by 27% and 28%, respectively
    • CDX IG traded notional and trade count decreased by 27% and 31%, respectively
    • iTraxx Europe traded notional increased by 5%, while trade count decreased by 3%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year