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 8%, while trade count increased by 9%
- Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 5%
- FRAs traded notional decreased by 2%, while trade count increased by 23%
- OIS traded notional decreased by 4%, while trade count increased by 26%
- 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 45% and 26%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 18% and 23%, respectively
- FRAs traded notional and trade count decreased by 59% and 40%, respectively
- OIS traded notional and trade count decreased by 59% and 11%, respectively
- 90% of total traded notional was cleared vs. 91% last year
- 55% of total traded notional executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending September 11, 2020
- SOFR traded notional totaled $19.5 billion, including $11.2 billion of basis swaps. Trade count totaled 189, including 95 basis swaps
- SONIA traded notional totaled $336.5 billion, including $2.9 billion of basis swaps. Trade count totaled 449, including 29 basis swaps
- SARON traded notional and trade count was $1.2 billion and 2, respectively
- TONA traded notional and trade count was $9.3 billion and 19, respectively
- €STR traded notional and trade count was $1.4 billion and 18, respectively
YTD Ending September 11, 2020
- SOFR traded notional totaled $629.8 billion, including $296.4 billion of basis swaps. Trade count totaled 3,276, including 1,078 basis swaps
- SONIA traded notional totaled $12.5 trillion, including $190.8 billion of basis swaps. Trade count totaled 17,431, including 1,127 basis swaps
- SARON traded notional and trade count was $29.9 billion and 67, respectively
- TONA traded notional totaled $196.8 billion, including $0.1 billion of basis swaps. Trade count totaled 501, including 3 basis swaps
- €STR traded notional and trade count was $31.9 billion and 174, 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 18% and 20%, respectively
- CDX HY traded notional and trade count increased by 23% and 20%, respectively
- CDX IG traded notional and trade count increased by 28% and 33%, respectively
- iTraxx Europe traded notional and trade count increased by 16% and 9%, 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 29% and 21%, respectively
- CDX HY traded notional and trade count decreased by 23% and 2%, respectively
- CDX IG traded notional and trade count decreased by 15% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 33% and 39%, respectively
- 82% of total traded notional was cleared vs. 76% last year
- 79% of total traded notional was executed On SEF vs. 72% last year