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.
Check out the latest Transition to RFRs Review: Full Year 2020 and the Fourth Quarter of 2020 and SwapsInfo Full Year of 2020 and the Fourth Quarter of 2020 Review: Summary
Data from ISDA SwapsInfo for the week ending January 29, 2021.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 21%, while trade count increased by 2%
- Fixed-for-floating IRS traded notional and trade count increased by 36% and 8%, respectively
- FRAs traded notional and trade count decreased by 25% and 5%, respectively
- OIS traded notional and trade count decreased by 58% and 14%, respectively
- 78% of total traded notional was cleared vs. 92% last year
- 71% of total traded notional was executed On SEF vs. 60% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional decreased by 13%, while trade count increased by 6%
- Fixed-for-floating IRS traded notional and trade count increased by 49% and 1%, respectively
- FRAs traded notional and trade count increased by 13% and 34%, respectively
- OIS traded notional and trade count decreased by 69% and 22%, respectively
- 77% of total traded notional was cleared vs. 92% last year
- 70% of total traded notional was executed On SEF vs. 48% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 29, 2021
- SOFR traded notional totaled $42.5 billion, including $20.6 billion of basis swaps. Trade count totaled 270, including 91 basis swaps
- SONIA traded notional totaled $302.1 billion, including $0.9 billion of basis swaps. Trade count totaled 818, including 9 basis swaps
- SARON traded notional and trade count was $0.3 billion and 5, respectively
- TONA traded notional totaled $10.4 billion, including $0.1 billion of basis swaps. Trade count totaled 27, including 2 basis swaps
- €STR traded notional and trade count was $12.7 billion and 26, respectively
YTD Ending January 29, 2021
- SOFR traded notional totaled $201.4 billion, including $101.2 billion of basis swaps. Trade count totaled 1,291, including 611 basis swaps
- SONIA traded notional totaled $1.8 trillion, including $14.1 billion of basis swaps. Trade count totaled 3.,474, including 100 basis swaps
- SARON traded notional and trade count was $1.2 billion and 11, respectively
- TONA traded notional totaled $29.9 billion, including $0.1 billion of basis swaps. Trade count totaled 73, including 2 basis swaps
- €STR traded notional and trade count was $21.0 billion and 91, respectively
.
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 2%, respectively
- CDX HY traded notional and trade count decreased by 10% and 8%, respectively
- CDX IG traded notional and trade count decreased by 25% and 14%, respectively
- iTraxx Europe traded notional and trade count increased by 11% and 31%, respectively
- 79% of total traded notional was cleared vs. 80% last year
- 78% of total traded notional was executed On SEF vs. 76% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 17% and 6%, respectively
- CDX HY traded notional and trade count decreased by 10% and 12%, respectively
- CDX IG traded notional and trade count decreased by 30% and 18%, respectively
- iTraxx Europe traded notional decreased by 0.2%, while trade count increased by 20%
- 83% of total traded notional was cleared, flat compared with last year
- 82% of total traded notional was executed On SEF vs. 80% last year
