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 is expanding its SwapsInfo analysis to include interest rate derivatives (IRD) trading activity reported in Europe. The analysis, believed to be the first of its kind, is based on transactions publicly reported by 30 European approved publication arrangements and trading venues for May 2021. Click here to read the full report.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional and trade count decreased by 13% and 14%, respectively
    • Fixed-for-floating IRS traded notional increased by 17%, while trade count decreased by 20%
    • FRAs traded notional and trade count decreased by 61% and 54%, respectively
    • OIS traded notional and trade count increased by 22% and 160%, respectively
  • 76% of total traded notional was cleared vs. 90% last year
  • 63% of total traded notional was executed on SEFs vs. 60% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 14%, while trade count increased by 11%
    • Fixed-for-floating IRS traded notional and trade count increased by 45% and 17%, respectively
    • FRAs traded notional and trade count decreased by 34% and 24%, respectively
    • OIS traded notional decreased by 45%, while trade count increased by 52%
  • 76% of total traded notional was cleared vs. 91% last year
  • 69% of total traded notional was executed on SEFs vs. 59% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending August 13, 2021

  • SOFR traded notional totaled $166.1 billion, including $40.7 billion of basis swaps. Trade count totaled 1,542, including 194 basis swaps
  • SONIA traded notional totaled $297.6 billion, including $8.8 billion of basis swaps. Trade count totaled 1,820, including 22 basis swaps
  • SARON traded notional and trade count was $6.9 billion and 75, respectively
  • TONA traded notional totaled $12.1 billion, including $1.9 billion of basis swaps. Trade count totaled 135, including 5 basis swaps
  • €STR traded notional totaled $6.8 billion, including $0.8 billion of basis swaps. Trade count totaled 36, including 2 basis swaps

YTD Ending August 13, 2021

  • SOFR traded notional totaled $2.4 trillion, including $933.4 billion of basis swaps. Trade count totaled 18,314, including 5,040 basis swaps
  • SONIA traded notional totaled $9.1 trillion, including $147.0 billion of basis swaps. Trade count totaled 47,025, including 820 basis swaps
  • SARON traded notional totaled $48.7 billion, including $0.2 billion of basis swaps. Trade count totaled 601, including 5 basis swaps
  • TONA traded notional totaled $204.9 billion, including $10.2 billion of basis swaps. Trade count totaled 1,305, including 89 basis swaps
  • €STR traded notional totaled $189.7 billion, including $8.9 billion of basis swaps. Trade count totaled 1,045, including 49 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 16%, while trade count decreased by 4%
    • CDX HY traded notional increased by 26%, while trade count decreased by 3%
    • CDX IG traded notional increased by 6%, while trade count decreased by 18%
    • iTraxx Europe traded notional and trade count decreased by 0.1% and 12%, respectively
  • 78% of total traded notional was cleared vs. 85% last year
  • 78% of total traded notional was executed on SEFs vs. 80% last year

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 20% and 26%, respectively
    • CDX HY traded notional and trade count both decreased by 29%
    • CDX IG traded notional and trade count decreased by 31% and 33%, 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