ISDA has launched a new monthly ISDA-Clarus RFR Adoption Indicator that tracks 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 October report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 11%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 2%
    • FRAs traded notional decreased by 7%, while trade count increased by 15%
    • OIS traded notional decreased by 9%, while trade count increased by 25%
  • 90% 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 6%, while trade count increased by 20%
    • Fixed-for-floating IRS traded notional and trade count increased by 15% and 27%, respectively
    • FRAs traded notional and trade count both decreased by 33%
    • OIS traded notional decreased by 6%, while trade count increased by 55%
  • 87% of total traded notional was cleared vs. 89% last year
  • 54% of total traded notional executed On SEF vs. 52% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending November 13, 2020

  • SOFR traded notional totaled $40.5 billion, including $22.9 billion of basis swaps. Trade count totaled 316, including 150 basis swaps
  • SONIA traded notional totaled $272.5 billion, including $2.1 billion of basis swaps. Trade count totaled 715, including 25 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $1.6 billion and 12, respectively
  • €STR traded notional totaled $3.4 billion, including $0.1 billion of basis swaps. Trade count totaled 31, including 2 basis swaps

YTD Ending November 13, 2020

  • SOFR traded notional totaled $1.0 trillion, including $484.8 billion of basis swaps. Trade count totaled 6,937, including 2,846 basis swaps
  • SONIA traded notional totaled $15.7 trillion, including $242.9 billion of basis swaps. Trade count totaled 22,614, including 1,358 basis swaps
  • SARON traded notional and trade count was $31.9 billion and 73, respectively
  • TONA traded notional totaled $233.3 billion, including $1.1 billion of basis swaps. Trade count totaled 587, including 4 basis swaps
  • €STR traded notional totaled $64.1 billion, including $0.1 billion of basis swaps. Trade count totaled 356, including 3 basis swaps

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 increased by 22% and 19%, respectively
    • CDX IG traded notional and trade count increased by 26% and 32%, respectively
    • iTraxx Europe traded notional and trade count increased by 14% 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 increased by 85% and 72%, respectively
    • CDX HY traded notional and trade count increased by 99% and 86%, respectively
    • CDX IG traded notional and trade count increased by 144% and 98%, respectively
    • iTraxx Europe traded notional and trade count increased by 85% and 61%, respectively
  • 86% of total traded notional was cleared vs. 76% last year
  • 81% of total traded notional was executed On SEF vs. 72% last year