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 26%
- 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 64% and 91%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 70% and 79%, respectively
- FRAs traded notional and trade count increased by 49% and 225%, respectively
- OIS traded notional and trade count increased by 49% and 148%, respectively
- 60% of total traded notional was executed On SEF vs. 46% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 25, 2020
- SOFR traded notional totaled $22.5 billion, including $8.2 billion of basis swaps. Trade count totaled 204, including 71 basis swaps
- SONIA traded notional totaled $104.1 billion, including $0.3 billion of basis swaps. Trade count totaled 229, including 2 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $0.2 billion and 1, respectively
- €STR traded notional and trade count was $1.9 billion and 10, respectively
YTD Ending December 25, 2020
- SOFR traded notional totaled $1.3 trillion, including $581.7 billion of basis swaps. Trade count totaled 8,924, including 3,478 basis swaps
- SONIA traded notional totaled $16.9 trillion, including $251.6 billion of basis swaps. Trade count totaled 25,674, including 1,405 basis swaps
- SARON traded notional and trade count was $32.6 billion and 76, respectively
- TONA traded notional totaled $249.0 billion, including $3.1 billion of basis swaps. Trade count totaled 630, including 7 basis swaps
- €STR traded notional totaled $81.6 billion, including $0.1 billion of basis swaps. Trade count totaled 517, 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 20%, 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 9%, respectively
- 77% of total traded notional was executed On SEF vs. 76% last year
2020 Current Week vs. 2019 Current Week
- Total credit derivatives traded notional and trade count increased by 173% and 150%, respectively
- CDX HY traded notional and trade count increased by 132% and 164%, respectively
- CDX IG traded notional and trade count increased by 139% and 131%, respectively
- iTraxx Europe traded notional and trade count increased by 230% and 247%, respectively
- 76% of total traded notional was executed On SEF vs. 80% last year