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.
Check out the latest Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021. The Transition to Risk-free Rates (RFRs) Review analyzes the trading volumes of over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average, the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate, the Euro Short-Term Rate and the Australian Overnight Index Average.
Interest Rate Derivatives
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 51% and 65%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 134% and 60%, respectively
- FRAs traded notional and trade count decreased by 67% and 52%, respectively
- OIS traded notional and trade count increased by 174% and 382%, respectively
- 77% of total traded notional was cleared vs. 90% last year
- 63% of total traded notional was executed on SEFs vs. 66% last year
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 5%, while trade count increased by 16%
- Fixed-for-floating IRS traded notional and trade count increased by 50% and 20%, respectively
- FRAs traded notional and trade count decreased by 35% and 25%, respectively
- OIS traded notional decreased by 21%, while trade count increased by 96%
- 76% of total traded notional was cleared vs. 91% last year
- 67% of total traded notional was executed on SEFs vs. 60% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 29, 2021
- SOFR traded notional totaled $398.1 billion, including $107.2 billion of basis swaps. Trade count totaled 3.8 thousand, including 742 basis swaps
- SONIA traded notional totaled $685.8 billion, including $17.0 billion of basis swaps. Trade count totaled 3.7 thousand, including 128 basis swaps
- SARON traded notional totaled $12.9 billion, including $1.3 billion of basis swaps. Trade count totaled 287, including 10 basis swaps
- TONA traded notional totaled $58.4 billion, including $24.9 billion of basis swaps. Trade count totaled 825, including 239 basis swaps
- €STR traded notional totaled $311.6 billion, including $19.5 billion of basis swaps. Trade count totaled 845, including 112 basis swaps
YTD Ending October 29, 2021
- SOFR traded notional totaled $5.3 trillion, including $1.7 billion of basis swaps. Trade count totaled 45.7 thousand, including 9.6 thousand basis swaps
- SONIA traded notional totaled $16.7 trillion, including $259.3 billion of basis swaps. Trade count totaled 74.4 thousand, including 1.7 thousand basis swaps
- SARON traded notional totaled $148.0 billion, including $6.1 billion of basis swaps. Trade count totaled 2.4 thousand, including 69 basis swaps
- TONA traded notional totaled $532.4 billion, including $88.6 billion of basis swaps. Trade count totaled 5.7 thousand, including 794 basis swaps
- €STR traded notional totaled $917.7 billion, including $100.2 billion of basis swaps. Trade count totaled 3.7 thousand, including 592 basis swaps
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Credit Derivatives
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 3% and 14%, respectively
- CDX HY traded notional and trade count decreased by 28% and 32%, respectively
- CDX IG traded notional and trade count decreased by 20% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 29% and 10%, respectively
- 80% of total traded notional was cleared vs. 83% last year
- 79% of total traded notional was executed on SEFs vs. 78% last year
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 9% and 19%, respectively
- CDX HY traded notional and trade count decreased by 20% and 24%, respectively
- CDX IG traded notional and trade count decreased by 23% and 29%, respectively
- iTraxx Europe traded notional and trade count increased by 21% and 8%, respectively
- 80% of total traded notional was cleared vs. 83% last year
- 80% of total traded notional was executed on SEFs vs. 79% last year