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 increased to 10.6% in February compared to 10.0% 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 February report is available here.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 21%, while trade count increased by 14%
- Fixed-for-floating IRS traded notional and trade count increased by 39% and 16%, respectively
- FRAs traded notional decreased by 11%, while trade count increased by 23%
- OIS traded notional and trade count decreased by 66% and 6%, respectively
- 75% of total traded notional was cleared vs. 91% last year
- 68% of total traded notional was executed On SEF vs. 51% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 12%, while trade count increased by 5%
- Fixed-for-floating IRS traded notional and trade count increased by 29% and 1%, respectively
- FRAs traded notional and trade count increased by 31% and 146%, respectively
- OIS traded notional and trade count decreased by 66% and 14%, respectively
- 77% of total traded notional was cleared vs. 91% last year
- 70% of total traded notional was executed On SEF vs. 44% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 12, 2021
- SOFR traded notional totaled $52.6 billion, including $15.5 billion of basis swaps. Trade count totaled 400, including 123 basis swaps
- SONIA traded notional totaled $181.5 billion, including $6.0 billion of basis swaps. Trade count totaled 1,242, including 17 basis swaps
- SARON traded notional and trade count was $1.2 billion and 4, respectively
- TONA traded notional and trade count was $10.5 billion and 17, respectively
- €STR traded notional and trade count was $4.0 billion and 35, respectively
YTD Ending March 12, 2021
- SOFR traded notional totaled $565.5 billion, including $224.2 billion of basis swaps. Trade count totaled 3,970, including 1,532 basis swaps
- SONIA traded notional totaled $4.0 trillion, including $44.0 billion of basis swaps. Trade count totaled 12,419, including 259 basis swaps
- SARON traded notional and trade count was $6.8 billion and 46, respectively
- TONA traded notional totaled $81.0 billion, including $0.1 billion of basis swaps. Trade count totaled 176, including 2 basis swaps
- €STR traded notional totaled $38.4 billion, including $0.4 billion of basis swaps. Trade count totaled 259, 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 38% and 32%, respectively
- CDX HY traded notional and trade count decreased by 39% and 34%, respectively
- CDX IG traded notional and trade count decreased by 42% and 35%, respectively
- iTraxx Europe traded notional and trade count decreased by 30% and 19%, respectively
- 80% of total traded notional was cleared vs. 82% last year
- 80% of total traded notional was executed On SEF vs. 79% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 68% and 62%, respectively
- CDX HY traded notional and trade count decreased by 70% and 58%, respectively
- CDX IG traded notional and trade count decreased by 70% and 67%, respectively
- iTraxx Europe traded notional and trade count decreased by 65% and 61%, respectively
- 84% of total traded notional was cleared vs. 86% last year
- 84% of total traded notional was executed On SEF vs. 82% last year