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 8%
- FRAs traded notional and trade count increased by 2% and 26%, respectively
- OIS traded notional and trade count increased by 5% and 34%, 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 and trade count decreased by 46% and 26%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 46% and 35%, respectively
- FRAs traded notional decreased by 14%, while trade count increased by 40%
- OIS traded notional and trade count decreased by 71% and 32%, respectively
- 87% of total traded notional was cleared vs. 89% last year
- 61% of total traded notional executed On SEF vs. 53% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 7, 2020
- SOFR traded notional totaled $18.9 billion, including $10.7 billion of basis swaps. Trade count totaled 84, including 33 basis swaps
- SONIA traded notional totaled $184.7 billion, including $5.2 billion of basis swaps. Trade count totaled 293, including 19 basis swaps
- SARON traded notional and trade count was $20 million and 1, respectively
- TONA traded notional totaled $0.7 billion, including $10 million of basis swaps. Trade count totaled 15, including 1 basis swap
- €STR traded notional and trade count was $5.2 billion and 20, respectively
YTD Ending August 7, 2020
- SOFR traded notional totaled $546.2 billion, including $260.6 billion of basis swaps. Trade count totaled 2,626, including 778 basis swaps
- SONIA traded notional totaled $11.1 trillion, including $164.8 billion of basis swaps. Trade count totaled 15,146, including 1,005 basis swaps
- SARON traded notional and trade count was $26.3 billion and 59, respectively
- TONA traded notional totaled $176.9 billion, including $50 million of basis swaps. Trade count totaled 440, including 2 basis swaps
- €STR traded notional and trade count was $24.6 billion and 105, respectively
Click Here to View Historical Benchmark Data
Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count both increased by 27%
- CDX HY traded notional and trade count increased by 31% and 27%, respectively
- CDX IG traded notional and trade count increased by 40% and 44%, respectively
- iTraxx Europe traded notional and trade count increased by 26% and 18%, 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 64% and 55%, respectively
- CDX HY traded notional and trade count decreased by 69% and 60%, respectively
- CDX IG traded notional and trade count decreased by 66% and 51%, respectively
- iTraxx Europe traded notional and trade count decreased by 63% and 53%, respectively
- 77% of total traded notional was cleared vs. 83% last year
- 74% of total traded notional was executed On SEF vs. 81% last year