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 September 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 8%, 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. 57% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count decreased by 11% and 2%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 18% and 12%, respectively
- FRAs traded notional decreased by 3%, while trade count increased by 24%
- OIS traded notional decreased by 19%, while trade count increased by 21%
- 88% of total traded notional was cleared vs. 89% last year
- 64% of total traded notional executed On SEF vs. 49% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 9, 2020
- SOFR traded notional totaled $23.1 billion, including $6.0 billion of basis swaps. Trade count totaled 145, including 81 basis swaps
- SONIA traded notional totaled $452.3 billion, including $8.2 billion of basis swaps. Trade count totaled 459, including 28 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $2.5 billion and 8, respectively
- €STR traded notional and trade count was $3.9 billion and 15, respectively
YTD Ending October 9, 2020
- SOFR traded notional totaled $744.1 billion, including $346.7 billion of basis swaps. Trade count totaled 3,983, including 1,404 basis swaps
- SONIA traded notional totaled $14.5 trillion, including $230.7 billion of basis swaps. Trade count totaled 19,940, including 1,258 basis swaps
- SARON traded notional and trade count was $30.1 billion and 70, respectively
- TONA traded notional totaled $210.2 billion, including $1.1 billion of basis swaps. Trade count totaled 526, including 4 basis swaps
- €STR traded notional and trade count was $42.9 billion and 226, 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 15% 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 24% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 13% and 7%, 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 7% and 3%, respectively
- CDX HY traded notional increased by 23%, while trade count decreased by 5%
- CDX IG traded notional decreased by 3%, while trade count increased by 12%
- iTraxx Europe traded notional and trade count decreased by 14% and 10%, respectively
- 82% of total traded notional was cleared vs. 80% last year
- 79% of total traded notional was executed On SEF vs. 77% last year