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.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 19%, while trade count increased by 12%
- Fixed-for-floating IRS traded notional and trade count increased by 41% and 16%, respectively
- FRAs traded notional decreased by 23%, while trade count increased by 2%
- OIS traded notional decreased by 61%, while trade count increased by 7%
- 75% of total traded notional was cleared vs. 91% last year
- 69% of total traded notional was executed On SEF vs. 54% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 18%, while trade count increased by 29%
- Fixed-for-floating IRS traded notional and trade count increased by 61% and 57%, respectively
- FRAs traded notional and trade count decreased by 66% and 56%, respectively
- OIS traded notional decreased by 11%, while trade count increased by 127%
- 74% of total traded notional was cleared vs. 94% last year
- 70% of total traded notional was executed On SEF vs. 72% last year
Interest Rate Derivatives: Benchmark Data
Week Ending April 9, 2021
- SOFR traded notional totaled $54.0 billion, including $22.7 billion of basis swaps. Trade count totaled 516, including 199 basis swaps
- SONIA traded notional totaled $171.2 billion, including $3.5 billion of basis swaps. Trade count totaled 1,347, including 17 basis swaps
- SARON traded notional and trade count was $0.8 billion and 8, respectively
- TONA traded notional totaled $0.6 billion, including $0.01 billion of basis swaps. Trade count totaled 7, including 1 basis swap
- €STR traded notional and trade count was $0.7 billion and 11, respectively
YTD Ending April 9, 2021
- SOFR traded notional totaled $801.7 billion, including $327.4 billion of basis swaps. Trade count totaled 5,959, including 2,180 basis swaps
- SONIA traded notional totaled $4.9 trillion, including $59.7 billion of basis swaps. Trade count totaled 18,096, including 346 basis swaps
- SARON traded notional and trade count was $7.9 billion and 61, respectively
- TONA traded notional totaled $99.9 billion, including $0.3 billion of basis swaps. Trade count totaled 235, including 7 basis swaps
- €STR traded notional totaled $46.6 billion, including $0.4 billion of basis swaps. Trade count totaled 347, including 7 basis swaps
Click Here to View Historical Benchmark Data
Credit Derivatives
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count both decreased by 32%
- CDX HY traded notional and trade count decreased by 33% and 35%, respectively
- CDX IG traded notional and trade count decreased by 39% and 37%, respectively
- iTraxx Europe traded notional and trade count decreased by 18% and 16%, respectively
- 82% of total traded notional was cleared vs. 83% last year
- 82% of total traded notional was executed On SEF vs. 80% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 26% and 32%, respectively
- CDX HY traded notional and trade count decreased by 31% and 34%, respectively
- CDX IG traded notional and trade count decreased by 29% and 36%, respectively
- iTraxx Europe traded notional increased by 0.4%, while trade count decreased by 12%
- 83% of total traded notional was cleared, flat compared with last year
- 83% of total traded notional was executed On SEF vs. 80% last year