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 7%
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 3%
    • FRAs traded notional decreased by 4%, while trade count increased by 19%
    • OIS traded notional decreased by 8%, while trade count increased by 23%
  • 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 and trade count decreased by 11% and 2%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 18% and 12%, respectively
    • FRAs traded notional decreased by 3%, while trade count increased by 24%
    • OIS traded notional decreased by 19%, while trade count increased by 21%
  • 88% of total traded notional was cleared vs. 89% last year
  • 64% of total traded notional executed On SEF vs. 49% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 9, 2020

  • SOFR traded notional totaled $23.1 billion, including $6.0 billion of basis swaps. Trade count totaled 145, including 81 basis swaps
  • SONIA traded notional totaled $452.3 billion, including $8.2 billion of basis swaps. Trade count totaled 459, including 28 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $2.5 billion and 8, respectively
  • €STR traded notional and trade count was $3.9 billion and 15, respectively

YTD Ending October 9, 2020

  • SOFR traded notional totaled $744.1 billion, including $346.7 billion of basis swaps. Trade count totaled 3,983, including 1,404 basis swaps
  • SONIA traded notional totaled $14.5 trillion, including $230.7 billion of basis swaps. Trade count totaled 19,940, including 1,258 basis swaps
  • SARON traded notional and trade count was $30.1 billion and 70, respectively
  • TONA traded notional totaled $210.2 billion, including $1.1 billion of basis swaps. Trade count totaled 526, including 4 basis swaps
  • €STR traded notional and trade count was $42.9 billion and 226, 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 15% and 18%, respectively
    • CDX HY traded notional and trade count increased by 20% and 18%, respectively
    • CDX IG traded notional and trade count increased by 24% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 13% and 7%, 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 decreased by 7% and 3%, respectively
    • CDX HY traded notional increased by 23%, while trade count decreased by 5%
    • CDX IG traded notional decreased by 3%, while trade count increased by 12%
    • iTraxx Europe traded notional and trade count decreased by 14% and 10%, respectively
  • 82% of total traded notional was cleared vs. 80% last year
  • 79% of total traded notional was executed On SEF vs. 77% last year