ISDA has launched a new monthly ISDA-Clarus RFR Adoption Indicator that is intended to track 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 September report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 10%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 2%
    • FRAs traded notional decreased by 5%, while trade count increased by 19%
    • OIS traded notional decreased by 8%, while trade count increased by 23%
  • 91% of total traded notional was cleared vs. 89% last year
  • 60% of total traded notional was executed On SEF vs. 57% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 25% and 12%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 19% and 18%, respectively
    • FRAs traded notional and trade count decreased by 24% and 1%, respectively
    • OIS traded notional decreased by 33%, while trade count increased by 13%
  • 89% of total traded notional was cleared vs. 88% last year
  • 60% of total traded notional executed On SEF vs. 54% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 16, 2020

  • SOFR traded notional totaled $47.8 billion, including $35.8 billion of basis swaps. Trade count totaled 482, including 349 basis swaps
  • SONIA traded notional totaled $243.7 billion, including $3.7 billion of basis swaps. Trade count totaled 478, including 17 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $3.6 billion and 12, respectively
  • €STR traded notional and trade count was $3.4 billion and 16, respectively

YTD Ending October 16, 2020

  • SOFR traded notional totaled $792.0 billion, including $382.5 billion of basis swaps. Trade count totaled 4,465, including 1,753 basis swaps
  • SONIA traded notional totaled $14.8 trillion, including $234.5 billion of basis swaps. Trade count totaled 20,418, including 1,275 basis swaps
  • SARON traded notional and trade count was $30.7 billion and 71, respectively
  • TONA traded notional totaled $213.8 billion, including $1.1 billion of basis swaps. Trade count totaled 538, including 4 basis swaps
  • €STR traded notional and trade count was $46.3 billion and 242, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count increased by 14% and 17%, respectively
    • CDX HY traded notional and trade count increased by 20% and 17%, respectively
    • CDX IG traded notional and trade count increased by 24% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 12% and 7%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 79% of total traded notional was executed On SEF vs. 77% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional decreased by 19%, while trade count increased by 3%
    • CDX HY traded notional increased by 6%, while trade count remained flat
    • CDX IG traded notional and trade count increased by 2% and 17%, respectively
    • iTraxx Europe traded notional and trade count decreased by 32% and 27%, respectively
  • 78% of total traded notional was cleared vs. 76% last year
  • 75% of total traded notional was executed On SEF vs. 71% last year