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.
Data from ISDA SwapsInfo for the week ending March 5, 2021
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 21%, while trade count increased by 16%
- Fixed-for-floating IRS traded notional and trade count increased by 40% and 18%, respectively
- FRAs traded notional decreased by 13%, while trade count increased by 17%
- OIS traded notional and trade count decreased by 66% and 5%, 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 decreased by 48%, while trade count increased by 3%
- Fixed-for-floating IRS traded notional and trade count both decreased by 4%
- FRAs traded notional decreased by 0.4%, while trade count increased by 111%
- OIS traded notional and trade count decreased by 82% and 26%, respectively
- 73% of total traded notional was cleared vs. 91% last year
- 67% of total traded notional was executed On SEF vs. 39% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 5, 2021
- SOFR traded notional totaled $38.2 billion, including $14.3 billion of basis swaps. Trade count totaled 327, including 112 basis swaps
- SONIA traded notional totaled $387.3 billion, including $4.5 billion of basis swaps. Trade count totaled 1,740, including 17 basis swaps
- SARON traded notional and trade count was $0.8 billion and 3, respectively
- TONA traded notional and trade count was $6.2 billion and 14, respectively
- €STR traded notional and trade count was $5.9 billion and 24, respectively
YTD Ending March 5, 2021
- SOFR traded notional totaled $511.0 billion, including $208.7 billion of basis swaps. Trade count totaled 3,496, including 1,409 basis swaps
- SONIA traded notional totaled $3.8 trillion, including $38.0 billion of basis swaps. Trade count totaled 11,177, including 242 basis swaps
- SARON traded notional and trade count was $5.6 billion and 42, respectively
- TONA traded notional totaled $70.5 billion, including $0.1 billion of basis swaps. Trade count totaled 159, including 2 basis swaps
- €STR traded notional totaled $34.4 billion, including $0.4 billion of basis swaps. Trade count totaled 224, including 7 basis swaps
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Credit Derivatives
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 31% and 25%, respectively
- CDX HY traded notional and trade count decreased by 31% and 29%, respectively
- CDX IG traded notional and trade count decreased by 36% and 27%, respectively
- iTraxx Europe traded notional and trade count decreased by 22% and 8%, respectively
- 80% of total traded notional was cleared vs. 82% last year
- 80% of total traded notional was executed On SEF vs. 78% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 58% and 52%, respectively
- CDX HY traded notional and trade count decreased by 55% and 51%, respectively
- CDX IG traded notional and trade count decreased by 55% and 48%, respectively
- iTraxx Europe traded notional and trade count decreased by 62% and 50%, respectively
- 84% of total traded notional was cleared, flat compared with last year
- 83% of total traded notional was executed On SEF vs. 80% last year
