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 decreased by 5%, while trade count increased by 4%
  • Fixed-for-floating IRS traded notional and trade count increased by 42% and 7%, respectively
  • FRAs traded notional and trade count decreased by 37% and 43%, respectively
  • OIS traded notional decreased by 31%, while trade count increased by 83%
• 77% of total traded notional was cleared vs. 90% last year
• 71% of total traded notional was executed On SEF vs. 64% last year

2021 YTD vs. 2020 YTD

• Total IRD traded notional decreased by 19%, while trade count increased by 7%
  • Fixed-for-floating IRS traded notional and trade count increased by 38% and 12%, respectively
  • FRAs traded notional and trade count decreased by 31% and 17%, respectively
  • OIS traded notional decreased by 57%, while trade count increased by 21%
• 75% of total traded notional was cleared vs. 91% last year
• 70% of total traded notional was executed On SEF vs. 57% last year

Interest Rate Derivatives: Benchmark Data

Week Ending June 11, 2021

• SOFR traded notional totaled $81.8 billion, including $27.1 billion of basis swaps. Trade count totaled 499, including 100 basis swaps
• SONIA traded notional totaled $261.8 billion, including $1.0 billion of basis swaps. Trade count totaled 1,655, including 9 basis swaps
• SARON traded notional and trade count was $1.3 billion and 23, respectively
• TONA traded notional and trade count was $7.0 billion and 40, respectively
• €STR traded notional and trade count was $7.1 billion and 40, respectively

YTD Ending June 11, 2021

• SOFR traded notional totaled $1.5 trillion, including $645.5 billion of basis swaps. Trade count totaled 10,151, including 3,552 basis swaps
• SONIA traded notional totaled $6.3 trillion, including $112.6 billion of basis swaps. Trade count totaled 29,886, including 652 basis swaps
• SARON traded notional totaled $13.1 billion, including $0.2 billion of basis swaps. Trade count totaled 164, including 5 basis swaps
• TONA traded notional totaled $131.4 billion, including $1.6 billion of basis swaps. Trade count totaled 386, including 28 basis swaps
• €STR traded notional totaled $126.5 billion, including $1.7 billion of basis swaps. Trade count totaled 635, including 21 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 31% and 44%, respectively
  • CDX HY traded notional and trade count decreased by 59% and 57%, respectively
  • CDX IG traded notional and trade count decreased by 44% and 54%, respectively
  • iTraxx Europe traded notional and trade count decreased by 19% and 32%, respectively
• 72% of total traded notional was cleared vs. 84% last year
• 71% of total traded notional was executed On SEF vs. 81% last year

2021 YTD vs. 2020 YTD

• Total credit derivatives traded notional and trade count decreased by 27% and 30%, respectively
  • CDX HY traded notional and trade count both decreased by 34%
  • CDX IG traded notional and trade count decreased by 36% and 37%, respectively
  • iTraxx Europe traded notional and trade count decreased by 7% and 10%, respectively
• 80% of total traded notional was cleared vs. 83% last year
• 80% of total traded notional was executed On SEF vs. 79% last year