Please note that Interest Rate Derivatives: Benchmark Data part of the weekly report has been discontinued. Instead, 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.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 4%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 8%
    • FRAs traded notional and trade count increased by 2% and 26%, respectively
    • OIS traded notional and trade count increased by 5% and 34%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 59% of total traded notional was executed On SEF vs. 58% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 46% and 26%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 46% and 35%, respectively
    • FRAs traded notional decreased by 14%, while trade count increased by 40%
    • OIS traded notional and trade count decreased by 71% and 32%, respectively
  • 87% of total traded notional was cleared vs. 89% last year
  • 61% of total traded notional executed On SEF vs. 53% last year

Credit Derivatives

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count both increased by 27%
    • CDX HY traded notional and trade count increased by 31% and 27%, respectively
    • CDX IG traded notional and trade count increased by 40% and 44%, respectively
    • iTraxx Europe traded notional and trade count increased by 26% and 18%, respectively
  • 83% of total traded notional was cleared vs. 80% 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 and trade count decreased by 64% and 55%, respectively
    • CDX HY traded notional and trade count decreased by 69% and 60%, respectively
    • CDX IG traded notional and trade count decreased by 66% and 51%, respectively
    • iTraxx Europe traded notional and trade count decreased by 63% and 53%, respectively
  • 77% of total traded notional was cleared vs. 83% last year
  • 74% of total traded notional was executed On SEF vs. 81% last year