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: First Half of 2021 and the Second Quarter of 2021. The report analyzes the trading volumes of over-the-counter and exchange-traded interest rate derivatives that reference selected alternative risk-free rates.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

• Total IRD traded notional and trade count increased by 18% and 26%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 70% and 29%, respectively
  • FRAs traded notional and trade count decreased by 33% and 30%, respectively
  • OIS traded notional and trade count increased by 48% and 197%, respectively
• 76% of total traded notional was cleared vs. 87% last year
• 66% of total traded notional was executed on SEFs vs. 61% last year

2021 YTD vs. 2020 YTD

• Total IRD traded notional decreased by 14%, while trade count increased by 12%
  • Fixed-for-floating IRS traded notional and trade count increased by 46% and 19%, respectively
  • FRAs traded notional and trade count decreased by 34% and 23%, respectively
  • OIS traded notional decreased by 46%, while trade count increased by 49%
• 76% of total traded notional was cleared vs. 91% last year
• 69% of total traded notional was executed on SEFs vs. 59% last year

Interest Rate Derivatives: Benchmark Data

Week Ending August 6, 2021

• SOFR traded notional totaled $135.2 billion, including $29.8 billion of basis swaps. Trade count totaled 1,448, including 141 basis swaps
• SONIA traded notional totaled $357.8 billion, including $2.5 billion of basis swaps. Trade count totaled 1,675, including 4 basis swaps
• SARON traded notional and trade count was $3.2 billion and 54, respectively
• TONA traded notional totaled $8.9 billion, including $0.8 billion of basis swaps. Trade count totaled 142, including 7 basis swaps
• €STR traded notional totaled $12.4 billion, including $3.5 billion of basis swaps. Trade count totaled 83, including 6 basis swaps

YTD Ending August 6, 2021

• SOFR traded notional totaled $2.2 trillion, including $892.7 billion of basis swaps. Trade count totaled 16,770, including 4,846 basis swaps
• SONIA traded notional totaled $8.8 trillion, including $138.2 billion of basis swaps. Trade count totaled 45,205, including 798 basis swaps
• SARON traded notional totaled $41.8 billion, including $0.2 billion of basis swaps. Trade count totaled 526, including 5 basis swaps
• TONA traded notional totaled $192.7 billion, including $8.4 billion of basis swaps. Trade count totaled 1,170, including 84 basis swaps
• €STR traded notional totaled $182.9 billion, including $8.2 billion of basis swaps. Trade count totaled 1,009, including 47 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 32% and 9%, respectively
  • CDX HY traded notional and trade count increased by 49% and 22%, respectively
  • CDX IG traded notional and trade count decreased by 0.4% and 16%, respectively
  • iTraxx Europe traded notional and trade count increased by 99% and 39%, respectively
• 80% of total traded notional was cleared vs. 77% last year
• 80% of total traded notional was executed on SEFs vs. 74% last year

2021 YTD vs. 2020 YTD

• Total credit derivatives traded notional and trade count decreased by 21% and 26%, respectively
  • CDX HY traded notional and trade count both decreased by 30%
  • CDX IG traded notional and trade count decreased by 32% and 34%, respectively
  • iTraxx Europe traded notional increased by 5%, while trade count decreased by 2%
• 80% of total traded notional was cleared vs. 83% last year
• 80% of total traded notional was executed on SEFs vs. 79% last year