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 and trade count increased by 4% and 15%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 59% and 20%, respectively
- FRAs traded notional and trade count decreased by 2% and 4%, respectively
- OIS traded notional decreased by 40%, while trade count increased by 79%
- 79% of total traded notional was cleared vs. 90% last year
- 77% of total traded notional was executed On SEF vs. 60% last year
2021 YTD vs. 2020 YTD.
- Total IRD traded notional decreased by 18%, while trade count increased by 10%
- Fixed-for-floating IRS traded notional and trade count increased by 42% and 16%, respectively
- FRAs traded notional and trade count decreased by 29% and 13%, respectively
- OIS traded notional decreased by 58%, while trade count increased by 18%
- 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 21, 2021
- SOFR traded notional totaled $79.5 billion, including $26.8 billion of basis swaps. Trade count totaled 470, including 114 basis swaps
- SONIA traded notional totaled $155.3 billion, including $3.5 billion of basis swaps. Trade count totaled 1,454, including 24 basis swaps
- SARON traded notional and trade count was $400 million and 5, respectively
- TONA traded notional and trade count was $2.9 billion, including $40 million of basis swaps. Trade count totaled 12, including 5 basis swaps
- €STR traded notional and trade count was $6.0 billion and 25, respectively
YTD Ending May 21, 2021
- SOFR traded notional totaled $1.3 trillion, including $566.9 billion of basis swaps. Trade count totaled 9,070, including 3,323 basis swaps
- SONIA traded notional totaled $5.9 trillion, including $108.1 billion of basis swaps. Trade count totaled 26,128, including 622 basis swaps
- SARON traded notional totaled $10.0 billion, including $0.1 billion of basis swaps. Trade count totaled 107, including 2 basis swaps
- TONA traded notional totaled $113.2 billion, including $1.4 billion of basis swaps. Trade count totaled 327, including 27 basis swaps
- €STR traded notional totaled $106.5 billion, including $1.4 billion of basis swaps. Trade count totaled 528, including 15 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 34% and 8%, respectively
- CDX HY traded notional and trade count increased by 20% and 5%, respectively
- CDX IG traded notional and trade count decreased by 4% and 20%, respectively
- iTraxx Europe traded notional and trade count increased by 133% and 78%, respectively
- 78% of total traded notional was cleared vs. 81% last year
- 78% of total traded notional was executed On SEF vs. 76% last year
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 26% and 28%, respectively
- CDX HY traded notional and trade count decreased by 30% and 31%, respectively
- CDX IG traded notional and trade count both decreased by 34%
- iTraxx Europe traded notional and trade count decreased by 6% and 8%, 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