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 Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2021.
Interest Rate Derivatives
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 12% and 29%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 30% and 5%, respectively
- FRAs traded notional and trade count decreased by 68% and 41%, respectively
- OIS traded notional and trade count increased by 47% and 353%, respectively
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 1%, while trade count increased by 19%
- Fixed-for-floating IRS traded notional and trade count increased by 51% and 20%, respectively
- FRAs traded notional and trade count decreased by 35% and 24%, respectively
- OIS traded notional decreased by 8%, while trade count increased by 125%
- 76% of total traded notional was cleared vs. 88% last year
- 66% of total traded notional was executed on SEFs vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 10, 2021
- SOFR traded notional totaled $571.8 billion, including $137.1 billion of basis swaps. Trade count totaled 6.3 thousand, including 934 basis swaps
- SONIA traded notional totaled $336.9 billion, including $10.6 billion of basis swaps. Trade count totaled 2.8 thousand, including 135 basis swaps
- SARON traded notional totaled $12.0 billion, including $1.5 billion of basis swaps. Trade count totaled 318, including 15 basis swaps
- TONA traded notional totaled $80.5 billion, including $15.3 billion of basis swaps. Trade count totaled 917, including 154 basis swaps
- €STR traded notional totaled $231.4 billion, including $37.0 billion of basis swaps. Trade count totaled 1.0 thousand, including 242 basis swaps
YTD Ending December 10, 2021
- SOFR traded notional totaled $8.2 trillion, including $2.4 trillion of basis swaps. Trade count totaled 74.0 thousand, including 14.4 thousand basis swaps
- SONIA traded notional totaled $19.8 trillion, including $328.3 billion of basis swaps. Trade count totaled 94.1 thousand, including 2.3 thousand basis swaps
- SARON traded notional totaled $229.6 billion, including $15.8 billion of basis swaps. Trade count totaled 4.2 thousand, including 152 basis swaps
- TONA traded notional totaled $891.1 billion, including $175.7 billion of basis swaps. Trade count totaled 10.6 thousand, including 1.7 thousand basis swaps
- €STR traded notional totaled $2.5 trillion, including $251.9 billion of basis swaps. Trade count totaled 9.5 thousand, including 1.7 thousand 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 73% and 42%, respectively
- CDX HY traded notional and trade count increased by 94% and 70%, respectively
- CDX IG traded notional and trade count increased by 57% and 40%, respectively
- iTraxx Europe traded notional and trade count increased by 114% and 108%, respectively
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 3% and 13%, respectively
- CDX HY traded notional and trade count decreased by 15% and 19%, respectively
- CDX IG traded notional and trade count decreased by 20% and 26%, respectively
- iTraxx Europe traded notional and trade count increased by 31% and 18%, respectively
- 81% of total traded notional was cleared vs. 80% last year
- 80% of total traded notional was executed on SEFs vs. 77% last year