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 September report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 10%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 2%
    • FRAs traded notional decreased by 6%, while trade count increased by 18%
    • OIS traded notional decreased by 9%, 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. 57% last year

 

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 27%, while trade count increased by 5%
    • Fixed-for-floating IRS traded notional and trade count decreased by 8% and 5%, respectively
    • FRAs traded notional and trade count decreased by 44% and 39%, respectively
    • OIS traded notional decreased by 36%, while trade count increased by 94%
  • 84% of total traded notional was cleared vs. 90% last year
  • 58% of total traded notional executed On SEF vs. 55% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 23, 2020

  • SOFR traded notional totaled $102.8 billion, including $49.8 billion of basis swaps. Trade count totaled 1,302, including 631 basis swaps
  • SONIA traded notional totaled $185.3 billion, including $2.9 billion of basis swaps. Trade count totaled 391, including 36 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $6.7 billion and 13, respectively
  • €STR traded notional and trade count was $6.9 billion and 29, respectively

YTD Ending October 23, 2020

  • SOFR traded notional totaled $894.7 billion, including $423.3 billion of basis swaps. Trade count totaled 5,767, including 2,384 basis swaps
  • SONIA traded notional totaled $14.9 trillion, including $237.4 billion of basis swaps. Trade count totaled 20,809, including 1,311 basis swaps
  • SARON traded notional and trade count was $30.7 billion and 71, respectively
  • TONA traded notional totaled $220.5 billion, including $1.1 billion of basis swaps. Trade count totaled 551, including 4 basis swaps
  • €STR traded notional and trade count was $53.2 billion and 271, 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 14% and 17%, respectively
    • CDX HY traded notional and trade count increased by 20% and 17%, respectively
    • CDX IG traded notional and trade count increased by 24% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 12% and 6%, 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 increased by 2% and 15%, respectively
    • CDX HY traded notional and trade count increased by 8% and 10%, respectively
    • CDX IG traded notional and trade count increased by 35% and 60%, respectively
    • iTraxx Europe traded notional increased by 14% and 0.2%, respectively
  • 81% of total traded notional was cleared vs. 74% last year
  • 77% of total traded notional was executed On SEF vs. 71% last year