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 19, 2021.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 14%, while trade count increased by 16%
- Fixed-for-floating IRS traded notional and trade count increased by 49% and 22%, respectively
- FRAs traded notional decreased by 18%, while trade count increased by 6%
- OIS traded notional decreased by 55%, while trade count increased by 4%
- 76% of total traded notional was cleared vs. 91% last year
- 69% of total traded notional was executed On SEF vs. 57% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 15%, while trade count increased by 39%
- Fixed-for-floating IRS traded notional and trade count increased by 73% and 60%, respectively
- FRAs traded notional and trade count decreased by 41% and 13%, respectively
- OIS traded notional decreased by 51%, while trade count increased by 35%
- 70% of total traded notional was cleared vs. 89% last year
- 60% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 19, 2021
- SOFR traded notional totaled $65.4 billion, including $22.3 billion of basis swaps. Trade count totaled 381, including 137 basis swaps
- SONIA traded notional totaled $339.5 billion, including $4.8 billion of basis swaps. Trade count totaled 1,291, including 31 basis swaps
- SARON traded notional and trade count was $0.9 billion and 5, respectively
- TONA traded notional and trade count was $11.9 billion and 19, respectively
- €STR traded notional and trade count was $0.8 billion and 14, respectively
YTD Ending February 19, 2021
- SOFR traded notional totaled $384.6 billion, including $166.0 billion of basis swaps. Trade count totaled 2,592, including 1,096 basis swaps
- SONIA traded notional totaled $3.0 trillion, including $28.2 billion of basis swaps. Trade count totaled 7,571, including 193 basis swaps
- SARON traded notional and trade count was $4.0 billion and 33, respectively
- TONA traded notional totaled $55.3 billion, including $0.1 billion of basis swaps. Trade count totaled 124, including 2 basis swaps
- €STR traded notional totaled $26.2 billion, including $0.3 billion of basis swaps. Trade count totaled 170, including 6 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 7% and 2%, respectively
- CDX HY traded notional and trade count both decreased by 10%
- CDX IG traded notional and trade count decreased by 19% and 10%, respectively
- iTraxx Europe traded notional and trade count increased by 12% and 28%, respectively
- 79% of total traded notional was cleared vs. 80% last year
- 78% of total traded notional was executed On SEF vs. 77% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count increased by 10% and 12%, respectively
- CDX HY traded notional and trade count decreased by 4% and 3%, respectively
- CDX IG traded notional and trade count decreased by 9% and 4%, respectively
- iTraxx Europe traded notional and trade count increased by 79% and 84%, respectively
- 80% of total traded notional was cleared, flat compared with last year
- 80% of total traded notional was executed On SEF vs. 76% last year