A planned system upgrade by the DTCC SDR on November 21st, 2020 changed reporting logic for indicating the cleared status of trades. Following the upgrade, the percentage of trades that are indicated to be cleared appears to be lower than historical averages as firms switched over to the new reporting logic.
ISDA-Clarus RFR Adoption Indicator increased to 10.0% in December compared to 8.3% 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 that reference the identified risk-free rates (RFRs) in six major currencies. The latest December report is available here.
Data from ISDA SwapsInfo for the week ending January 15, 2021.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 23%, while trade count increased by 2%
- Fixed-for-floating IRS traded notional and trade count increased by 34% and 16%, respectively
- FRAs traded notional and trade count decreased by 33% and 20%, respectively
- OIS traded notional and trade count decreased by 46% and 14%, respectively
- 79% of total traded notional was cleared vs. 92% last year
- 73% of total traded notional was executed On SEF vs. 65% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count increased by 7% and 31%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 63% and 42%, respectively
- FRAs traded notional and trade count increased by 19% and 26%, respectively
- OIS traded notional and trade count decreased by 51% and 6%, respectively
- 80% of total traded notional was cleared vs. 91% last year
- 75% of total traded notional was executed On SEF vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 15, 2021
- SOFR traded notional totaled $60.4 billion, including $35.2 billion of basis swaps. Trade count totaled 390, including 218 basis swaps
- SONIA traded notional totaled $564.2 billion, including $6.3 billion of basis swaps. Trade count totaled 1,029, including 36 basis swaps
- SARON traded notional and trade count was $0.5 billion and 3, respectively
- TONA traded notional and trade count was $3.0 billion and 14, respectively
- €STR traded notional and trade count was $1.9 billion and 21, respectively
YTD Ending January 15, 2021
- SOFR traded notional totaled $110.5 billion, including $64.0 billion of basis swaps. Trade count totaled 780, including 426 basis swaps
- SONIA traded notional totaled $1.3 trillion, including $11.3 billion of basis swaps. Trade count totaled 1,994, including 78 basis swaps
- SARON traded notional and trade count was $0.9 billion and 6, respectively
- TONA traded notional and trade count was $10.6 billion and 29, respectively
- €STR traded notional and trade count was $5.6 billion and 46, respectively
Click Here to View Historical Benchmark Data
Credit Derivatives
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional decreased by 10%, while trade count increased by 1%
- CDX HY traded notional decreased by 6%, while trade count increased by 4%
- CDX IG traded notional and trade count decreased by 24% and 12%, respectively
- iTraxx Europe traded notional and trade count increased by 14% and 30%, respectively
- 77% of total traded notional was cleared vs. 76% last year
- 76% of total traded notional was executed On SEF vs. 73% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count increased by 26% and 37%, respectively
- CDX HY traded notional and trade count increased by 30% and 31%, respectively
- CDX IG traded notional and trade count increased by 2% and 7%, respectively
- iTraxx Europe traded notional and trade count increased by 68% and 96%, respectively
- 78% of total traded notional was cleared, flat compared with last year
- 78% of total traded notional was executed On SEF vs. 74% last year
