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 10.1% in April compared to 8.7% 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 (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. The latest April report is available here.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

• Total IRD traded notional decreased by 5%, while trade count increased by 21%
  • Fixed-for-floating IRS traded notional and trade count increased by 51% and 31%, respectively
  • FRAs traded notional and trade count decreased by 32% and 24%, respectively
  • OIS traded notional decreased by 35%, while trade count increased by 47%
• 74% of total traded notional was cleared vs. 90% last year
• 70% of total traded notional was executed On SEF vs. 64% last year

2021 YTD vs. 2020 YTD.

• Total IRD traded notional decreased by 19%, while trade count increased by 10%
  • Fixed-for-floating IRS traded notional and trade count increased by 41% and 16%, respectively
  • FRAs traded notional and trade count decreased by 30% and 13%, respectively
  • OIS traded notional decreased by 58%, while trade count increased by 16%
• 75% of total traded notional was cleared vs. 91% last year
• 69% of total traded notional was executed On SEF vs. 57% last year

Interest Rate Derivatives: Benchmark Data

Week Ending May 14, 2021

• SOFR traded notional totaled $51.5 billion, including $15.7 billion of basis swaps. Trade count totaled 389, including 131 basis swaps
• SONIA traded notional totaled $189.5 billion, including $0.8 billion of basis swaps. Trade count totaled 1,481, including 10 basis swaps
• SARON traded notional and trade count was $1 million and 1, respectively
• TONA traded notional and trade count was $1.6 billion, including $20 million of basis swaps. Trade count totaled 25, including 7 basis swaps
• €STR traded notional and trade count was $2.3 billion and 44, respectively

YTD Ending May 14, 2021

• SOFR traded notional totaled $1.2 trillion, including $540.1 billion of basis swaps. Trade count totaled 8,578, including 3,209 basis swaps
• SONIA traded notional totaled $5.7 trillion, including $79.9 billion of basis swaps. Trade count totaled 24,504, including 442 basis swaps
• SARON traded notional and trade count was $9.6 billion and 100, respectively
• TONA traded notional totaled $109.1 billion, including $0.1 billion of basis swaps. Trade count totaled 302, including 9 basis swaps
• €STR traded notional totaled $99.4 billion, including $0.4 billion of basis swaps. Trade count totaled 495, including 7 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 increased by 33% and 16%, respectively
  • CDX HY traded notional and trade count increased by 6% and 14%, respectively
  • CDX IG traded notional increased by 10%, while trade count decreased by 5%
  • iTraxx Europe traded notional and trade count increased by 132% and 72%, respectively
• 80% of total traded notional was cleared vs. 83% last year
• 80% of total traded notional was executed On SEF vs. 79% last year

2021 YTD vs. 2020 YTD

• Total credit derivatives traded notional and trade count decreased by 27% and 29%, respectively
  • CDX HY traded notional and trade count decreased by 31% and 32%, respectively
  • CDX IG traded notional and trade count both decreased by 35%
  • iTraxx Europe traded notional and trade count decreased by 10% and 11%, respectively
• 81% of total traded notional was cleared vs. 83% last year
• 81% of total traded notional was executed On SEF vs. 79% last year