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 July report is available here.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 4%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 7%
    • FRAs traded notional and trade count increased by 2% and 26%, respectively
    • OIS traded notional and trade count increased by 4% and 32%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 59% of total traded notional was executed On SEF vs. 58% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 27%, while trade count increased by 0.02%
    • Fixed-for-floating IRS traded notional decreased by 27%, while trade count increased by 1%
    • FRAs traded notional decreased by 16%, while trade count increased by 17%
    • OIS traded notional and trade count decreased by 41% and 17%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 60% of total traded notional executed On SEF vs. 56% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending August 14, 2020

  • SOFR traded notional totaled $15.1 billion, including $3.4 billion of basis swaps. Trade count totaled 86, including 30 basis swaps
  • SONIA traded notional totaled $302.3 billion, including $5.2 billion of basis swaps. Trade count totaled 376, including 19 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $1.8 billion and 8, respectively
  • €STR traded notional and trade count was $0.5 billion and 9, respectively

YTD Ending August 14, 2020

  • SOFR traded notional totaled $571.7 billion, including $270.3 billion of basis swaps. Trade count totaled 2,776, including 849 basis swaps
  • SONIA traded notional totaled $11.6 trillion, including $170.7 billion of basis swaps. Trade count totaled 15,986, including 1,036 basis swaps
  • SARON traded notional and trade count was $26.3 billion and 59, respectively
  • TONA traded notional totaled $179.5 billion, including $100 million of basis swaps. Trade count totaled 463, including 3 basis swaps
  • €STR traded notional and trade count was $25.5 billion and 123, 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 23% and 24%, respectively
    • CDX HY traded notional and trade count increased by 27% and 23%, respectively
    • CDX IG traded notional and trade count increased by 35% and 40%, respectively
    • iTraxx Europe traded notional and trade count increased by 23% and 15%, 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 decreased by 61% and 54%, respectively
    • CDX HY traded notional and trade count decreased by 66% and 58%, respectively
    • CDX IG traded notional and trade count decreased by 66% and 54%, respectively
    • iTraxx Europe traded notional and trade count decreased by 54% and 51%, respectively
  • 86% of total traded notional was cleared, flat compared with last year
  • 80% of total traded notional was executed On SEF vs. 84% last year