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 and trade count increased by 29% and 43%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 74% and 39%, respectively
    • FRAs traded notional and trade count increased by 14% and 39%, respectively
    • OIS traded notional and trade count increased by 14% and 187%, respectively
  • 79% of total traded notional was cleared vs. 90% last year
  • 69% of total traded notional was executed on SEFs vs. 57% 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 33% and 22%, respectively
    • OIS traded notional decreased by 39%, while trade count increased by 68%
  • 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 September 17, 2021

  • SOFR traded notional totaled $240.9 billion, including $66.5 billion of basis swaps. Trade count totaled 2,190, including 332 basis swaps
  • SONIA traded notional totaled $518.9 billion, including $8.2 billion of basis swaps. Trade count totaled 2,151, including 37 basis swaps
  • SARON traded notional totaled $8.8 billion, including $0.2 billion of basis swaps. Trade count totaled 148, including 2 basis swaps
  • TONA traded notional totaled $18.2 billion, including $2.7 billion of basis swaps. Trade count totaled 283, including 10 basis swaps
  • €STR traded notional totaled $29.3 billion, including $5.6 billion of basis swaps. Trade count totaled 71, including 8 basis swaps

YTD Ending September 17, 2021

  • SOFR traded notional totaled $3.3 trillion, including $1.1 trillion of basis swaps. Trade count totaled 27,281, including 6,152 basis swaps
  • SONIA traded notional totaled $10.6 trillion, including $170.7 billion of basis swaps. Trade count totaled 56,024, including 954 basis swaps
  • SARON traded notional totaled $82.0 billion, including $1.4 billion of basis swaps. Trade count totaled 1,136, including 19 basis swaps
  • TONA traded notional totaled $297.0 billion, including $22.4 billion of basis swaps. Trade count totaled 2,614, including 184 basis swaps
  • €STR traded notional totaled $271.2 billion, including $24.0 billion of basis swaps. Trade count totaled 1,331, including 99 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 11%, while trade count decreased by 4%
    • CDX HY traded notional increased by 4%, while trade count decreased by 10%
    • CDX IG traded notional and trade count decreased by 13% and 23%, respectively
    • iTraxx Europe traded notional and trade count increased by 41% and 27%, respectively
  • 74% of total traded notional was cleared vs. 77% last year
  • 72% of total traded notional was executed on SEFs vs. 75% 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 29% and 32%, respectively
    • iTraxx Europe traded notional increased by 8%, while trade count decreased by 1%
  • 80% of total traded notional was cleared vs. 82% last year
  • 79% of total traded notional was executed on SEFs, flat compared with last year