ISDA-Clarus RFR Adoption 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 October 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 15%, while trade count increased by 2%
- FRAs traded notional decreased by 6%, while trade count increased by 16%
- OIS traded notional decreased by 9%, while trade count increased by 25%
- 90% 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 increased by 11% and 7%, respectively
- Fixed-for-floating IRS traded notional increased by 5%, while trade count decreased by 7%
- FRAs traded notional and trade count increased by 31% and 58%, respectively
- OIS traded notional decreased by 14%, while trade count increased by 31%
- 89% of total traded notional was cleared vs. 87% last year
- 68% of total traded notional executed On SEF vs. 56% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 20, 2020
- SOFR traded notional totaled $70.5 billion, including $25.4 billion of basis swaps. Trade count totaled 470, including 205 basis swaps
- SONIA traded notional totaled $195.1 billion, including $1.8 billion of basis swaps. Trade count totaled 535, including 11 basis swaps
- SARON traded notional and trade count was $20 million and 1, respectively
- TONA traded notional and trade count was $2.0 billion and 5, respectively
- €STR traded notional and trade count was $5.0 billion and 25, respectively
YTD Ending November 20, 2020
- SOFR traded notional totaled $1.1 trillion, including $510.2 billion of basis swaps. Trade count totaled 7,415, including 3,051 basis swaps
- SONIA traded notional totaled $15.9 trillion, including $244.7 billion of basis swaps. Trade count totaled 23,150, including 1,369 basis swaps
- SARON traded notional and trade count was $31.9 billion and 74, respectively
- TONA traded notional totaled $237.3 billion, including $3.1 billion of basis swaps. Trade count totaled 594, including 6 basis swaps
- €STR traded notional totaled $69.1 billion, including $0.1 billion of basis swaps. Trade count totaled 381, 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 22% and 19%, respectively
- CDX IG traded notional and trade count increased by 26% and 32%, respectively
- iTraxx Europe traded notional and trade count increased by 14% 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 increased by 1% and 9%, respectively
- CDX HY traded notional and trade count increased by 5% and 14%, respectively
- CDX IG traded notional and trade count increased by 29% and 31%, respectively
- iTraxx Europe traded notional decreased by 13%, while trade count increased by 1%
- 81% of total traded notional was cleared vs. 72% last year
- 77% of total traded notional was executed On SEF vs. 68% last year