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 11%, 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 decreased by 17%, while trade count increased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 9% and 0.01%, respectively
- FRAs traded notional decreased by 2%, while trade count increased by 40%
- OIS traded notional decreased by 34%, while trade count increased by 24%
- 54% of total traded notional was executed On SEF vs. 46% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 18, 2020
- SOFR traded notional totaled $54.7 billion, including $7.2 billion of basis swaps. Trade count totaled 323, including 56 basis swaps
- SONIA traded notional totaled $367.4 billion, including $0.4 billion of basis swaps. Trade count totaled 627, including 5 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $0.5 billion and 3, respectively
- €STR traded notional and trade count was $3.4 billion and 34, respectively
YTD Ending December 18, 2020
- SOFR traded notional totaled $1.3 trillion, including $573.5 billion of basis swaps. Trade count totaled 8,700, including 3,407 basis swaps
- SONIA traded notional totaled $16.8 trillion, including $251.3 billion of basis swaps. Trade count totaled 25,446, including 1,403 basis swaps
- SARON traded notional and trade count was $32.6 billion and 76, respectively
- TONA traded notional totaled $248.8 billion, including $3.1 billion of basis swaps. Trade count totaled 629, including 7 basis swaps
- €STR traded notional totaled $79.7 billion, including $0.1 billion of basis swaps. Trade count totaled 507, including 3 basis swaps
Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 14% and 18%, 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 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 decreased by 16% and 7%, respectively
- CDX HY traded notional and trade count increased by 1% and 55%, respectively
- CDX IG traded notional and trade count decreased by 17% and 28%, respectively
- iTraxx Europe traded notional and trade count decreased by 29% and 20%, respectively
- 65% of total traded notional was executed On SEF vs. 66% last year