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 July report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 6%, while trade count increased by 10%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 6%
    • FRAs traded notional and trade count increased by 1% and 25%, respectively
    • OIS traded notional and trade count increased by 0.2% and 28%, 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 25% and 1%, respectively
    • Fixed-for-floating IRS traded notional increased by 2%, while trade count decreased by 3%
    • FRAs traded notional decreased by 20%, while trade count increased by 13%
    • OIS traded notional and trade count decreased by 57% and 5%, respectively
  • 89% of total traded notional was cleared vs. 90% last year
  • 65% of total traded notional executed On SEF vs. 50% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending August 28, 2020

  • SOFR traded notional totaled $13.4 billion, including $5.7 billion of basis swaps. Trade count totaled 119, including 58 basis swaps
  • SONIA traded notional totaled $155.3 billion, including $2.6 billion of basis swaps. Trade count totaled 407, including 23 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 2, respectively
  • TONA traded notional and trade count was $3.1 billion and 8, respectively
  • €STR traded notional and trade count was $4.3 billion and 15, respectively

YTD Ending August 28, 2020

  • SOFR traded notional totaled $600.5 billion, including $278.0 billion of basis swaps. Trade count totaled 2,982, including 931 basis swaps
  • SONIA traded notional totaled $12.0 trillion, including $181.6 billion of basis swaps. Trade count totaled 16,726, including 1,082 basis swaps
  • SARON traded notional and trade count was $28.7 billion and 65, respectively
  • TONA traded notional totaled $184.0 billion, including $0.1 billion of basis swaps. Trade count totaled 478, including 3 basis swaps
  • €STR traded notional and trade count was $30.2 billion and 143, 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 20% and 21%, respectively
    • CDX HY traded notional and trade count increased by 25% and 20%, respectively
    • CDX IG traded notional and trade count increased by 30% and 35%, respectively
    • iTraxx Europe traded notional and trade count increased by 19% and 12%, 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 37% and 30%, respectively
    • CDX HY traded notional and trade count decreased by 7% and 16%, respectively
    • CDX IG traded notional and trade count decreased by 46% and 43%, respectively
    • iTraxx Europe traded notional and trade count decreased by 51% and 45%, respectively
  • 76% of total traded notional was cleared vs. 78% last year
  • 71% of total traded notional was executed On SEF vs. 76% last year