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 19%, while trade count increased by 15%
- Fixed-for-floating IRS traded notional and trade count increased by 38% and 16%, respectively
- FRAs traded notional decreased by 11%, while trade count increased by 22%
- OIS traded notional and trade count decreased by 64% and 2%, 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 and trade count increased by 3% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 36% and 16%, respectively
- FRAs traded notional decreased by 18%, while trade count increased by 10%
- OIS traded notional decreased by 23%, while trade count increased by 52%
- 71% of total traded notional was cleared vs. 92% last year
- 66% of total traded notional was executed On SEF vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 19, 2021
- SOFR traded notional totaled $58.7 billion, including $24.3 billion of basis swaps. Trade count totaled 394, including 161 basis swaps
- SONIA traded notional totaled $249.9 billion, including $7.1 billion of basis swaps. Trade count totaled 1,609, including 28 basis swaps
- SARON traded notional and trade count was $0.2 billion and 3, respectively
- TONA traded notional and trade count was $14.3 billion and 28, respectively
- €STR traded notional and trade count was $0.9 billion and 11, respectively
YTD Ending March 19, 2021
- SOFR traded notional totaled $624.6 billion, including $248.6 billion of basis swaps. Trade count totaled 4,370, including 1,693 basis swaps
- SONIA traded notional totaled $4.3 trillion, including $51.3 billion of basis swaps. Trade count totaled 13,997, including 288 basis swaps
- SARON traded notional and trade count was $7.0 billion and 49, respectively
- TONA traded notional totaled $95.3 billion, including $0.1 billion of basis swaps. Trade count totaled 204, including 2 basis swaps
- €STR traded notional totaled $39.3 billion, including $0.4 billion of basis swaps. Trade count totaled 270, 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 40% and 35%, respectively
- CDX HY traded notional and trade count decreased by 40% and 35%, respectively
- CDX IG traded notional and trade count decreased by 46% and 40%, respectively
- iTraxx Europe traded notional and trade count decreased by 34% and 25%, respectively
- 81% 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 both decreased by 59%
- CDX HY traded notional and trade count decreased by 50% and 44%, respectively
- CDX IG traded notional and trade count decreased by 66% and 67%, respectively
- iTraxx Europe traded notional and trade count decreased by 55% and 60%, respectively
- 81% of total traded notional was cleared vs. 84% last year
- 81% of total traded notional was executed On SEF vs. 79% last year
