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 August 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 7%, 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. 58% last year

 

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 31% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 23% and 4%, respectively
    • FRAs traded notional and trade count decreased by 36% and 11%, respectively
    • OIS traded notional decreased by 22%, while trade count increased by 5%
  • 88% of total traded notional was cleared vs. 84% last year
  • 62% of total traded notional executed On SEF vs. 52% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 2, 2020

  • SOFR traded notional totaled $20.4 billion, including $5.5 billion of basis swaps. Trade count totaled 151, including 75 basis swaps
  • SONIA traded notional totaled $472.6 billion, including $21.6 billion of basis swaps. Trade count totaled 615, including 38 basis swaps
  • There were no SARON trades
  • TONA traded notional totaled $8.9 billion, including $1.0 billion of basis swaps. Trade count totaled 12, including 1 basis swap
  • €STR traded notional and trade count was $3.0 billion and 15, respectively

YTD Ending October 2, 2020

  • SOFR traded notional totaled $721.1 billion, including $340.7 billion of basis swaps. Trade count totaled 3,837, including 1,323 basis swaps
  • SONIA traded notional totaled $14.1 trillion, including $222.6 billion of basis swaps. Trade count totaled 19,481, including 1,230 basis swaps
  • SARON traded notional and trade count was $30.1 billion and 70, respectively
  • TONA traded notional totaled $207.7 billion, including $1.1 billion of basis swaps. Trade count totaled 518, including 4 basis swaps
  • €STR traded notional and trade count was $39.1 billion and 211, 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 16% 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 25% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 14% and 8%, 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 3% and 13%, respectively
    • CDX HY traded notional increased by 43%, while trade count decreased by 1%
    • CDX IG traded notional and trade count decreased by 21% and 16%, respectively
    • iTraxx Europe traded notional and trade count decreased by 11% and 2%, respectively
  • 87% of total traded notional was cleared vs. 85% last year
  • 85% of total traded notional was executed On SEF vs. 82% last year