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 Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021 and SwapsInfo Third Quarter of 2021 and Year-to-September 30, 2021 Full Report
Interest Rate Derivatives
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 13% and 28%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 58% and 27%, respectively
- FRAs traded notional and trade count decreased by 72% and 59%, respectively
- OIS traded notional and trade count increased by 139% and 241%, respectively
- 78% of total traded notional was cleared vs. 89% last year
- 63% of total traded notional was executed on SEFs vs. 67% last year
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 3%, while trade count increased by 18%
- Fixed-for-floating IRS traded notional and trade count increased by 52% and 21%, respectively
- FRAs traded notional and trade count decreased by 35% and 24%, respectively
- OIS traded notional decreased by 14%, while trade count increased by 111%
- 76% of total traded notional was cleared vs. 91% last year
- 67% of total traded notional was executed on SEFs vs. 60% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 19, 2021
- SOFR traded notional totaled $454.1 billion, including $126.8 billion of basis swaps. Trade count totaled 4.7 thousand, including 928 basis swaps
- SONIA traded notional totaled $456.2 billion, including $10.5 billion of basis swaps. Trade count totaled 3.1 thousand, including 114 basis swaps
- SARON traded notional totaled $9.0 billion, including $1.1 billion of basis swaps. Trade count totaled 195, including 14 basis swaps
- TONA traded notional totaled $79.6 billion, including $19.3 billion of basis swaps. Trade count totaled 1.3 thousand, including 194 basis swaps
- €STR traded notional totaled $182.3 billion, including $27.1 billion of basis swaps. Trade count totaled 775, including 182 basis swaps
YTD Ending November 19, 2021
- SOFR traded notional totaled $6.6 trillion, including $2.1 trillion of basis swaps. Trade count totaled 58.0 thousand, including 12.0 thousand basis swaps
- SONIA traded notional totaled $18.7 trillion, including $297.5 billion of basis swaps. Trade count totaled 85.0 thousand, including 2.0 thousand basis swaps
- SARON traded notional totaled $188.2 billion, including $9.6 billion of basis swaps. Trade count totaled 3.3 thousand, including 101 basis swaps
- TONA traded notional totaled $734.5 billion, including $136.7 billion of basis swaps. Trade count totaled 8.6 thousand, including 1.3 thousand basis swaps
- €STR traded notional totaled $1.9 trillion, including $167.3 billion of basis swaps. Trade count totaled 6.8 thousand, including 1.0 thousand basis swaps
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Credit Derivatives
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count increased by 28% and 5%, respectively
- CDX HY traded notional and trade count decreased by 0.02% and 12%, respectively
- CDX IG traded notional increased by 3%, while trade count decreased by 14%
- iTraxx Europe traded notional and trade count increased by 121% and 80%, respectively
- 79% of total traded notional was cleared vs. 80% last year
- 79% of total traded notional was executed on SEFs vs. 77% last year
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 9% and 18%, respectively
- CDX HY traded notional and trade count decreased by 20% and 23%, respectively
- CDX IG traded notional and trade count decreased by 23% and 29%, respectively
- iTraxx Europe traded notional and trade count increased by 22% and 10%, respectively
- 80% of total traded notional was cleared vs. 83% last year
- 80% of total traded notional was executed on SEFs vs. 79% last year