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 2% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 43% and 12%, respectively
    • FRAs traded notional and trade count decreased by 32% and 13%, respectively
    • OIS traded notional and trade count increased by 16% and 160%, respectively
  • 76% of total traded notional was cleared vs. 91% last year
  • 66% of total traded notional was executed on SEFs vs. 65% last year

2021 YTD vs. 2020 YTD

  • Total IRD traded notional decreased by 15%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional and trade count increased by 45% and 18%, respectively
    • FRAs traded notional and trade count decreased by 34% and 23%, respectively
    • OIS traded notional decreased by 47%, while trade count increased by 46%
  • 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 July 30, 2021

  • SOFR traded notional totaled $114.5 billion, including $20.1 billion of basis swaps. Trade count totaled 1,243, including 151 basis swaps
  • SONIA traded notional totaled $173.4 billion, including $2.8 billion of basis swaps. Trade count totaled 1,489, including 17 basis swaps
  • SARON traded notional and trade count was $5.5 billion and 55, respectively
  • TONA traded notional totaled $12.1 billion, including $2.0 billion of basis swaps. Trade count totaled 164, including 22 basis swaps
  • €STR traded notional totaled $12.8 billion, including $0.6 billion of basis swaps. Trade count totaled 52, including 4 basis swaps

YTD Ending July 30, 2021

  • SOFR traded notional totaled $2.1 trillion, including $862.8 billion of basis swaps. Trade count totaled 15,274, including 4,705 basis swaps
  • SONIA traded notional totaled $8.5 trillion, including $135.7 billion of basis swaps. Trade count totaled 43,529, including 794 basis swaps
  • SARON traded notional totaled $38.6 billion, including $0.2 billion of basis swaps. Trade count totaled 472, including 5 basis swaps
  • TONA traded notional totaled $183.9 billion, including $7.6 billion of basis swaps. Trade count totaled 1,027, including 77 basis swaps
  • €STR traded notional totaled $170.5 billion, including $4.7 billion of basis swaps. Trade count totaled 926, including 41 basis swaps

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2021 Current Week vs. 2020 Current Week
  • Total credit derivatives traded notional increased by 40%, while trade count decreased by 6%
    • CDX HY traded notional and trade count decreased by 6% and 3%, respectively
    • CDX IG traded notional increased by 13%, while trade count decreased by 11%
    • iTraxx Europe traded notional and trade count increased by 167% and 72%, respectively
  • 76% of total traded notional was cleared vs. 81% last year
  • 75% 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 21% and 26%, respectively
    • CDX HY traded notional and trade count both decreased by 31%
    • CDX IG traded notional and trade count decreased by 32% and 34%, respectively
    • iTraxx Europe traded notional increased by 3%, while trade count decreased by 3%
  • 80% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed on SEFs vs. 79% last year