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 was 10.0% in January, flat compared to 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 January report is available here.
Data from ISDA SwapsInfo for the week ending February 26, 2021.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 17%, while trade count increased by 18%
- Fixed-for-floating IRS traded notional and trade count increased by 49% and 23%, respectively
- FRAs traded notional decreased by 14%, while trade count increased by 12%
- OIS traded notional and trade count decreased by 62% and 0.3%, respectively
- 75% of total traded notional was cleared vs. 91% last year
- 68% of total traded notional was executed On SEF vs. 53% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 30%, while trade count increased by 25%
- Fixed-for-floating IRS traded notional and trade count increased by 46% and 27%, respectively
- FRAs traded notional and trade count increased by 31% and 96%, respectively
- OIS traded notional and trade count decreased by 79% and 14%, respectively
- 71% of total traded notional was cleared vs. 91% last year
- 64% of total traded notional was executed On SEF vs. 34% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 26, 2021
- SOFR traded notional totaled $87.3 billion, including $28.5 billion of basis swaps. Trade count totaled 526, including 201 basis swaps
- SONIA traded notional totaled $458.2 billion, including $3.9 billion of basis swaps. Trade count totaled 1,863, including 31 basis swaps
- SARON traded notional and trade count was $0.8 billion and 6, respectively
- TONA traded notional and trade count was $9.2 billion and 21, respectively
- €STR traded notional totaled $2.4 billion, including $0.1 billion of basis swaps. Trade count totaled 31, including 1 basis swap
YTD Ending February 26, 2021
- SOFR traded notional totaled $471.5 billion, including $194.4 billion of basis swaps. Trade count totaled 3,118, including 1,297 basis swaps
- SONIA traded notional totaled $3.4 trillion, including $33.5 billion of basis swaps. Trade count totaled 9,438, including 225 basis swaps
- SARON traded notional and trade count was $4.8 billion and 39, respectively
- TONA traded notional totaled $64.4 billion, including $0.1 billion of basis swaps. Trade count totaled 145, including 2 basis swaps
- €STR traded notional totaled $28.6 billion, including $0.4 billion of basis swaps. Trade count totaled 201, 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 decreased by 23% and 18%, respectively
- CDX HY traded notional and trade count decreased by 24% and 23%, respectively
- CDX IG traded notional and trade count decreased by 31% and 21%, respectively
- iTraxx Europe traded notional decreased by 8%, while trade count increased by 7%
- 80% of total traded notional was cleared vs. 81% last year
- 79% of total traded notional was executed On SEF vs. 78% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 56% and 53%, respectively
- CDX HY traded notional and trade count decreased by 53% and 51%, respectively
- CDX IG traded notional and trade count decreased by 56% and 49%, respectively
- iTraxx Europe traded notional and trade count decreased by 49% and 41%, respectively
- 85% of total traded notional was cleared vs. 82% last year
- 85% of total traded notional was executed On SEF vs. 79% last year