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 10.7% in May compared to 10.1% 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 (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. The latest May report is available here.

 

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

  • Total IRD traded notional decreased by 1%, while trade count increased by 20%
    • Fixed-for-floating IRS traded notional and trade count increased by 70% and 41%, respectively
    • FRAs traded notional and trade count decreased by 53% and 55%, respectively
    • OIS traded notional and trade count increased by 42% and 199%, respectively
  • 75% of total traded notional was cleared vs. 89% last year
  • 67% of total traded notional was executed On SEF vs. 69% last year

 

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 18%, while trade count increased by 8%
    • Fixed-for-floating IRS traded notional and trade count increased by 40% and 13%, respectively
    • FRAs traded notional and trade count decreased by 31% and 19%, respectively
    • OIS traded notional decreased by 55%, while trade count increased by 25%
  • 75% of total traded notional was cleared vs. 91% last year
  • 70% of total traded notional was executed On SEF vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 18, 2021

  • SOFR traded notional totaled $83.4 billion, including $31.5 billion of basis swaps. Trade count totaled 567, including 169 basis swaps
  • SONIA traded notional totaled $275.6 billion, including $1.7 billion of basis swaps. Trade count totaled 1,940, including 14 basis swaps
  • SARON traded notional and trade count was $2.9 billion and 30, respectively
  • TONA traded notional totaled $9.2 billion, including $0.1 billion of basis swaps. Trade count totaled 44, including 1 basis swap
  • €STR traded notional and trade count was $2.4 billion and 27, respectively

YTD Ending June 18, 2021

  • SOFR traded notional totaled $1.6 trillion, including $677.4 billion of basis swaps. Trade count totaled 10,762, including 3,722 basis swaps
  • SONIA traded notional totaled $6.6 trillion, including $114.7 billion of basis swaps. Trade count totaled 31,828, including 667 basis swaps
  • SARON traded notional totaled $16.0 billion, including $0.2 billion of basis swaps. Trade count totaled 194, including 5 basis swaps
  • TONA traded notional totaled $140.7 billion, including $1.7 billion of basis swaps. Trade count totaled 430, including 29 basis swaps
  • €STR traded notional totaled $129.0 billion, including $1.7 billion of basis swaps. Trade count totaled 662, including 21 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 24% and 28%, respectively
    • CDX HY traded notional and trade count decreased by 24% and 32%, respectively
    • CDX IG traded notional and trade count decreased by 47% and 39%, respectively
    • iTraxx Europe traded notional increased by 22%, while trade count decreased by 4%
  • 80% of total traded notional was cleared vs. 85% last year
  • 78% of total traded notional was executed On SEF vs. 81% last year

 

2021 YTD vs. 2020 YTD

  • Total credit derivatives traded notional and trade count decreased by 27% and 30%, respectively
    • CDX HY traded notional and trade count decreased by 33% and 34%, respectively
    • CDX IG traded notional and trade count decreased by 36% and 37%, respectively
    • iTraxx Europe traded notional and trade count decreased by 6% and 10%, 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