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 was 10.0% in January, flat compared to 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 January report is available here.
Data from ISDA SwapsInfo for the week ending February 12, 2021.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 14%, while trade count increased by 13%
- Fixed-for-floating IRS traded notional and trade count increased by 45% and 16%, respectively
- FRAs traded notional decreased by 15%, while trade count increased by 8%
- OIS traded notional and trade count decreased by 56% and 1%, respectively
- 77% of total traded notional was cleared vs. 91% last year
- 70% of total traded notional was executed On SEF vs. 58% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 20% and 59%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 68% and 48%, respectively
- FRAs traded notional and trade count increased by 66% and 130%, respectively
- OIS traded notional decreased by 52%, while trade count increased by 19%
- 77% of total traded notional was cleared vs. 88% last year
- 72% of total traded notional was executed On SEF vs. 48% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 12, 2021
- SOFR traded notional totaled $38.8 billion, including $18.4 billion of basis swaps. Trade count totaled 338, including 132 basis swaps
- SONIA traded notional totaled $397.0 billion, including $4.2 billion of basis swaps. Trade count totaled 1,421, including 36 basis swaps
- SARON traded notional and trade count was $1.5 billion and 10, respectively
- TONA traded notional and trade count was $10.4 billion and 21, respectively
- €STR traded notional totaled $1.3 billion, including $0.3 billion of basis swaps. Trade count totaled 22, including 6 basis swaps.
YTD Ending February 12, 2021
- SOFR traded notional totaled $318.9 billion, including $143.7 billion of basis swaps. Trade count totaled 2,194, including 959 basis swaps
- SONIA traded notional totaled $2.6 trillion, including $23.4 billion of basis swaps. Trade count totaled 6,280, including 162 basis swaps
- SARON traded notional and trade count was $3.1 billion and 28, respectively
- TONA traded notional totaled $43.5 billion, including $0.1 billion of basis swaps. Trade count totaled 105, including 2 basis swaps
- €STR traded notional totaled $25.4 billion, including $0.3 billion of basis swaps. Trade count totaled 156, including 6 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 10% and 3%, respectively
- CDX HY traded notional and trade count both decreased by 11%
- CDX IG traded notional and trade count decreased by 21% and 11%, respectively
- iTraxx Europe traded notional and trade count increased by 3% and 21%, respectively
- 78% of total traded notional was cleared vs. 80% last year
- 78% of total traded notional was executed On SEF vs. 77% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 2% and 4%, respectively
- CDX HY traded notional and trade count decreased by 26% and 24%, respectively
- CDX IG traded notional and trade count increased by 11% and 8%, respectively
- iTraxx Europe traded notional decreased by 12%, while trade count increased by 7%
- 76% of total traded notional was cleared vs. 80% last year
- 76% of total traded notional was executed On SEF vs. 77% last year
