Due to a change in reporting logic within the DTCC SDR on November 21st, 2020, the clearing status was not consistently reported by some participants. Therefore, clearing metrics are not included in the below analysis.
ISDA-Clarus RFR Adoption Indicator declined to 8.3% in November compared to 11.6% the prior month. The 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 November 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 13%, while trade count increased by 3%
    • FRAs traded notional decreased by 7%, while trade count increased by 13%
    • OIS traded notional decreased by 10%, while trade count increased by 26%
  • 58% 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 64% and 91%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 70% and 79%, respectively
    • FRAs traded notional and trade count increased by 49% and 225%, respectively
    • OIS traded notional and trade count increased by 49% and 148%, respectively
  • 60% of total traded notional was executed On SEF vs. 46% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending December 25, 2020

  • SOFR traded notional totaled $22.5 billion, including $8.2 billion of basis swaps. Trade count totaled 204, including 71 basis swaps
  • SONIA traded notional totaled $104.1 billion, including $0.3 billion of basis swaps. Trade count totaled 229, including 2 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.2 billion and 1, respectively
  • €STR traded notional and trade count was $1.9 billion and 10, respectively

YTD Ending December 25, 2020

  • SOFR traded notional totaled $1.3 trillion, including $581.7 billion of basis swaps. Trade count totaled 8,924, including 3,478 basis swaps
  • SONIA traded notional totaled $16.9 trillion, including $251.6 billion of basis swaps. Trade count totaled 25,674, including 1,405 basis swaps
  • SARON traded notional and trade count was $32.6 billion and 76, respectively
  • TONA traded notional totaled $249.0 billion, including $3.1 billion of basis swaps. Trade count totaled 630, including 7 basis swaps
  • €STR traded notional totaled $81.6 billion, including $0.1 billion of basis swaps. Trade count totaled 517, 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 21% and 20%, 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 9%, respectively
  • 77% of total traded notional was executed On SEF vs. 76% last year

 

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 173% and 150%, respectively
    • CDX HY traded notional and trade count increased by 132% and 164%, respectively
    • CDX IG traded notional and trade count increased by 139% and 131%, respectively
    • iTraxx Europe traded notional and trade count increased by 230% and 247%, respectively
  • 76% of total traded notional was executed On SEF vs. 80% last year