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 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 38% and 44%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 102% and 44%, respectively
- FRAs traded notional increased by 13%, while trade count decreased by 2%
- OIS traded notional decreased by 11%, while trade count increased by 129%
- 75% of total traded notional was cleared vs. 91% last year
- 70% of total traded notional was executed On SEF vs. 64% last year
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 17%, while trade count increased by 12%
- Fixed-for-floating IRS traded notional and trade count increased by 44% and 17%, respectively
- FRAs traded notional and trade count decreased by 28% and 13%, respectively
- OIS traded notional decreased by 56%, while trade count increased by 21%
- 75% of total traded notional was cleared vs. 91% last year
- 69% of total traded notional was executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 21, 2021
- SOFR traded notional totaled $107.8 billion, including $53.1 billion of basis swaps. Trade count totaled 511, including 152 basis swaps
- SONIA traded notional totaled $212.7 billion, including $2.5 billion of basis swaps. Trade count totaled 1,643, including 18 basis swaps
- SARON traded notional and trade count was $1.1 billion and 12, respectively
- TONA traded notional totaled $10.7 billion, including $100 million of basis swaps. Trade count totaled 18, including 1 basis swap
- €STR traded notional totaled $7.2 billion, including $200 million of basis swaps. Trade count totaled 44, including 5 basis swaps
YTD Ending May 28, 2021
- SOFR traded notional totaled $1.4 trillion, including $620.0 billion of basis swaps. Trade count totaled 9,605, including 3,475 basis swaps
- SONIA traded notional totaled $6.1 trillion, including $110.6 billion of basis swaps. Trade count totaled 27,778, including 640 basis swaps
- SARON traded notional totaled $11.2 billion, including $0.1 billion of basis swaps. Trade count totaled 119, including 2 basis swaps
- TONA traded notional totaled $123.9 billion, including $1.5 billion of basis swaps. Trade count totaled 345, including 28 basis swaps
- €STR traded notional totaled $113.7 billion, including $1.6 billion of basis swaps. Trade count totaled 572, including 20 basis swaps
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Credit Derivatives
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 13% and 27%, respectively
- CDX HY traded notional and trade count decreased by 41% and 38%, respectively
- CDX IG traded notional and trade count decreased by 31% and 42%, respectively
- iTraxx Europe traded notional and trade count increased by 24% and 4%, respectively
- 77% of total traded notional was cleared vs. 82% last year
- 77% of total traded notional was executed On SEF vs. 78% last year
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 25% and 28%, respectively
- CDX HY traded notional and trade count decreased by 30% and 31%, respectively
- CDX IG traded notional and trade count decreased by 34% and 35%, respectively
- iTraxx Europe traded notional and trade count decreased by 5% and 8%, respectively
- 81% of total traded notional was cleared vs. 83% last year
- 81% of total traded notional was executed On SEF vs. 79% last year