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 August report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 8%, while trade count increased by 9%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 5%
    • FRAs traded notional decreased by 2%, while trade count increased by 23%
    • OIS traded notional decreased by 4%, while trade count increased by 26%
  • 91% of total traded notional was cleared vs. 89% last year
  • 60% 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 45% and 26%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 18% and 23%, respectively
    • FRAs traded notional and trade count decreased by 59% and 40%, respectively
    • OIS traded notional and trade count decreased by 59% and 11%, respectively
  • 90% of total traded notional was cleared vs. 91% last year
  • 55% of total traded notional executed On SEF vs. 57% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending September 11, 2020

  • SOFR traded notional totaled $19.5 billion, including $11.2 billion of basis swaps. Trade count totaled 189, including 95 basis swaps
  • SONIA traded notional totaled $336.5 billion, including $2.9 billion of basis swaps. Trade count totaled 449, including 29 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 2, respectively
  • TONA traded notional and trade count was $9.3 billion and 19, respectively
  • €STR traded notional and trade count was $1.4 billion and 18, respectively

YTD Ending September 11, 2020

  • SOFR traded notional totaled $629.8 billion, including $296.4 billion of basis swaps. Trade count totaled 3,276, including 1,078 basis swaps
  • SONIA traded notional totaled $12.5 trillion, including $190.8 billion of basis swaps. Trade count totaled 17,431, including 1,127 basis swaps
  • SARON traded notional and trade count was $29.9 billion and 67, respectively
  • TONA traded notional totaled $196.8 billion, including $0.1 billion of basis swaps. Trade count totaled 501, including 3 basis swaps
  • €STR traded notional and trade count was $31.9 billion and 174, 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 18% and 20%, respectively
    • CDX HY traded notional and trade count increased by 23% and 20%, respectively
    • CDX IG traded notional and trade count increased by 28% and 33%, respectively
    • iTraxx Europe traded notional and trade count increased by 16% and 9%, 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 29% and 21%, respectively
    • CDX HY traded notional and trade count decreased by 23% and 2%, respectively
    • CDX IG traded notional and trade count decreased by 15% and 11%, respectively
    • iTraxx Europe traded notional and trade count decreased by 33% and 39%, respectively
  • 82% of total traded notional was cleared vs. 76% last year
  • 79% of total traded notional was executed On SEF vs. 72% last year