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 7%, 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 0.1% and 24%, respectively
    • OIS traded notional decreased by 2%, while trade count increased by 27%
  • 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 38% and 9%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 0.4% and 7%, respectively
    • FRAs traded notional and trade count decreased by 38% and 14%, respectively
    • OIS traded notional and trade count decreased by 70% and 12%, respectively
  • 88% of total traded notional was cleared vs. 89% last year
  • 65% of total traded notional executed On SEF vs. 53% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending September 4, 2020

  • SOFR traded notional totaled $9.6 billion, including $7.3 billion of basis swaps. Trade count totaled 104, including 52 basis swaps
  • SONIA traded notional totaled $93.3 billion, including $6.3 billion of basis swaps. Trade count totaled 256, including 16 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $3.6 billion and 4, respectively
  • €STR traded notional and trade count was $0.3 billion and 13, respectively

YTD Ending September 4, 2020

  • SOFR traded notional totaled $610.3 billion, including $285.3 billion of basis swaps. Trade count totaled 3,087, including 983 basis swaps
  • SONIA traded notional totaled $12.1 trillion, including $187.9 billion of basis swaps. Trade count totaled 16,982, including 1,098 basis swaps
  • SARON traded notional and trade count was $28.7 billion and 65, respectively
  • TONA traded notional totaled $187.6 billion, including $0.1 billion of basis swaps. Trade count totaled 482, including 3 basis swaps
  • €STR traded notional and trade count was $30.5 billion and 156, 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 19% and 21%, respectively
    • CDX HY traded notional and trade count increased by 24% and 20%, respectively
    • CDX IG traded notional and trade count increased by 29% and 34%, respectively
    • iTraxx Europe traded notional and trade count increased by 18% and 10%, 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 decreased by 7%, while trade count increased by 9%
    • CDX HY traded notional and trade count increased by 23% and 20%, respectively
    • CDX IG traded notional and trade count increased by 0.1% and 8%, respectively
    • iTraxx Europe traded notional and trade count decreased by 28% and 33%, respectively
  • 81% of total traded notional was cleared vs. 75% last year
  • 78% of total traded notional was executed On SEF vs. 71% last year