SwapsInfo

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 10.7% in May compared to 10.1% 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 May report is available here.

Interest Rate Derivatives

2021 Current Week vs. 2020 Current Week

Total IRD traded notional and trade count increased by 50% and 41%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 102% and 49%, respectively
- FRAs traded notional increased by 6%, while trade count decreased by 5%
- OIS traded notional and trade count increased by 78% and 158%, respectively
81% of total traded notional was cleared vs. 90% last year
71% of total traded notional was executed On SEF vs. 67% last year

2021 YTD vs. 2020 YTD

Total IRD traded notional decreased by 17%, while trade count increased by 9%
- Fixed-for-floating IRS traded notional and trade count increased by 42% and 15%, respectively
- FRAs traded notional and trade count decreased by 30% and 18%, respectively
- OIS traded notional decreased by 54%, while trade count increased by 29%
76% of total traded notional was cleared vs. 91% last year
70% of total traded notional was executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data

Week Ending June 25, 2021

SOFR traded notional totaled $78.7 billion, including $30.3 billion of basis swaps. Trade count totaled 618, including 201 basis swaps
SONIA traded notional totaled $465.5 billion, including $10.2 billion of basis swaps. Trade count totaled 2,043, including 34 basis swaps
SARON traded notional and trade count was $1.3 billion and 30, respectively
TONA traded notional totaled $3.0 billion, including $0.1 billion of basis swaps. Trade count totaled 27, including 1 basis swap
€STR traded notional totaled $2.4 billion, including $0.6 billion of basis swaps. Trade count totaled 33, including 6 basis swaps

YTD Ending June 25, 2021

SOFR traded notional totaled $1.7 trillion, including $707.8 billion of basis swaps. Trade count totaled 11,417, including 3,923 basis swaps
SONIA traded notional totaled $7.1 trillion, including $124.9 billion of basis swaps. Trade count totaled 33,868, including 701 basis swaps
SARON traded notional totaled $17.3 billion, including $0.2 billion of basis swaps. Trade count totaled 224, including 5 basis swaps
TONA traded notional totaled $143.7 billion, including $1.8 billion of basis swaps. Trade count totaled 457, including 30 basis swaps
€STR traded notional totaled $131.4 billion, including $2.3 billion of basis swaps. Trade count totaled 695, including 27 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 decreased by 10% and 28%, respectively
- CDX HY traded notional and trade count decreased by 41% and 43%, respectively
- CDX IG traded notional and trade count decreased by 28% and 37%, respectively
- iTraxx Europe traded notional and trade count increased by 31% and 11%, respectively
82% of total traded notional was cleared vs. 86% last year
80% of total traded notional was executed On SEF vs. 82% last year