Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending December 11, 2020

Posted by & filed under Uncategorized.

There has been reporting issue with DTCC SDR clearing data since November 21st, 2020. 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 25%
  • 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 26% and 31%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 39% and 32%, respectively
    • FRAs traded notional and trade count increased by 49% and 45%, respectively
    • OIS traded notional and trade count increased by 5% and 38%, respectively
  • 57% of total traded notional was executed On SEF vs. 47% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending December 11, 2020

  • SOFR traded notional totaled $65.2 billion, including $18.4 billion of basis swaps. Trade count totaled 421, including 135 basis swaps
  • SONIA traded notional totaled $329.4 billion, including $0.9 billion of basis swaps. Trade count totaled 756, including 9 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $5.8 billion and 18, respectively
  • €STR traded notional and trade count was $2.5 billion and 37, respectively

YTD Ending December 11, 2020

  • SOFR traded notional totaled $1.2 trillion, including $566.3 billion of basis swaps. Trade count totaled 8,374, including 3,351 basis swaps
  • SONIA traded notional totaled $16.5 trillion, including $250.9 billion of basis swaps. Trade count totaled 24,820, including 1,398 basis swaps
  • SARON traded notional and trade count was $32.6 billion and 76,  respectively
  • TONA traded notional totaled $248.3 billion, including $3.1 billion of basis swaps. Trade count totaled 626, including 7 basis swaps
  • €STR traded notional totaled $76.3 billion, including $0.1 billion of basis swaps. Trade count totaled 473, 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 19%, respectively
    • CDX IG traded notional and trade count increased by 24% and 31%, respectively
    • iTraxx Europe traded notional and trade count increased by 14% and 9%, respectively
  • 77% of total traded notional was executed On SEF, flat compared with last year

 

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 4% and 35%, respectively
    • CDX HY traded notional and trade count decreased by 14% and 6%, respectively
    • CDX IG traded notional decreased by 3%, while trade count increased by 7%
    • iTraxx Europe traded notional and trade count increased by 33% and 39%, respectively
  • 71% of total traded notional was executed On SEF, flat compared with last year