ISDA-Clarus RFR Adoption Indicator 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 10%, 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 6%, while trade count increased by 16%
    • 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 and trade count increased by 11% and 7%, respectively
    • Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 7%
    • FRAs traded notional and trade count increased by 31% and 58%, respectively
    • OIS traded notional decreased by 14%, while trade count increased by 31%
  • 89% of total traded notional was cleared vs. 87% last year
  • 68% of total traded notional executed On SEF vs. 56% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending November 20, 2020

  • SOFR traded notional totaled $70.5 billion, including $25.4 billion of basis swaps. Trade count totaled 470, including 205 basis swaps
  • SONIA traded notional totaled $195.1 billion, including $1.8 billion of basis swaps. Trade count totaled 535, including 11 basis swaps
  • SARON traded notional and trade count was $20 million and 1, respectively
  • TONA traded notional and trade count was $2.0 billion and 5, respectively
  • €STR traded notional and trade count was $5.0 billion and 25, respectively

YTD Ending November 20, 2020

  • SOFR traded notional totaled $1.1 trillion, including $510.2 billion of basis swaps. Trade count totaled 7,415, including 3,051 basis swaps
  • SONIA traded notional totaled $15.9 trillion, including $244.7 billion of basis swaps. Trade count totaled 23,150, including 1,369 basis swaps
  • SARON traded notional and trade count was $31.9 billion and 74, respectively
  • TONA traded notional totaled $237.3 billion, including $3.1 billion of basis swaps. Trade count totaled 594, including 6 basis swaps
  • €STR traded notional totaled $69.1 billion, including $0.1 billion of basis swaps. Trade count totaled 381, 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 15% 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 1% and 9%, respectively
    • CDX HY traded notional and trade count increased by 5% and 14%, respectively
    • CDX IG traded notional and trade count increased by 29% and 31%, respectively
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 1%
  • 81% of total traded notional was cleared vs. 72% last year
  • 77% of total traded notional was executed On SEF vs. 68% last year