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 9%, while trade count increased by 7%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 3%
    • FRAs traded notional decreased by 4%, while trade count increased by 20%
    • OIS traded notional decreased by 7%, while trade count increased by 24%
  • 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 25% and 10%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 23% and 16%, respectively
    • FRAs traded notional and trade count decreased by 28% and 13%, respectively
    • OIS traded notional decreased by 29%, while trade count increased by 8%
  • 92% of total traded notional was cleared vs. 93% last year
  • 66% of total traded notional executed On SEF vs. 62% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending September 25, 2020

  • SOFR traded notional totaled $38.8 billion, including $17.2 billion of basis swaps. Trade count totaled 184, including 75 basis swaps
  • SONIA traded notional totaled $612.8 billion, including $4.1 billion of basis swaps. Trade count totaled 707, including 32 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.2 billion and 1, respectively
  • €STR traded notional and trade count was $3.3 billion and 11, respectively

YTD Ending September 25, 2020

  • SOFR traded notional totaled $700.7 billion, including $335.3 billion of basis swaps. Trade count totaled 3,686, including 1,248 basis swaps
  • SONIA traded notional totaled $13.6 trillion, including $200.9 billion of basis swaps. Trade count totaled 18,866, including 1,192 basis swaps
  • SARON traded notional and trade count was $30.1 billion and 70, respectively
  • TONA traded notional totaled $198.8 billion, including $0.1 billion of basis swaps. Trade count totaled 506, including 3 basis swaps
  • €STR traded notional and trade count was $36.0 billion and 196, 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 16% and 19%, respectively
    • CDX HY traded notional and trade count both increased by 19%
    • CDX IG traded notional and trade count increased by 27% and 32%, respectively
    • iTraxx Europe traded notional and trade count increased by 15% and 8%, 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 and trade count increased by 42% and 54%, respectively
    • CDX HY traded notional decreased by 42%, while trade count increased by 10%
    • CDX IG traded notional and trade count increased by 64% and 69%, respectively
    • iTraxx Europe traded notional and trade count increased by 84% and 73%, respectively
  • 86% of total traded notional was cleared, flat compared with last year
  • 83% of total traded notional was executed On SEF vs. 82% last year