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 5%, while trade count increased by 11%
- Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 6%
- FRAs traded notional and trade count increased by 1% and 25%, respectively
- OIS traded notional and trade count increased by 2% and 30%, 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 34% and 21%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 35% and 25%, respectively
- FRAs traded notional decreased by 12%, while trade count increased by 11%
- OIS traded notional and trade count decreased by 57% and 36%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 68% of total traded notional executed On SEF vs. 61% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 21, 2020
- SOFR traded notional totaled $15.4 billion, including $2.0 billion of basis swaps. Trade count totaled 87, including 24 basis swaps
- SONIA traded notional totaled $220.6 billion, including $8.3 billion of basis swaps. Trade count totaled 333, including 23 basis swaps
- SARON traded notional and trade count was $1.2 billion and 4, respectively
- TONA traded notional and trade count was $1.5 billion and 7, respectively
- €STR traded notional and trade count was $0.5 billion and 5, respectively
YTD Ending August 21, 2020
- SOFR traded notional totaled $587.1 billion, including $272.3 billion of basis swaps. Trade count totaled 2,863, including 873 basis swaps
- SONIA traded notional totaled $11.9 trillion, including $179.0 billion of basis swaps. Trade count totaled 16,319, including 1,059 basis swaps
- SARON traded notional and trade count was $27.5 billion and 63, respectively
- TONA traded notional totaled $180.9 billion, including $0.1 billion of basis swaps. Trade count totaled 470, including 3 basis swaps
- €STR traded notional and trade count was $26.0 billion and 128, 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 21% and 22%, respectively
- CDX HY traded notional and trade count increased by 25% and 21%, respectively
- CDX IG traded notional and trade count increased by 32% and 37%, respectively
- iTraxx Europe traded notional and trade count increased by 20% and 13%, 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 48% and 37%, respectively
- CDX HY traded notional and trade count decreased by 28% and 33%, respectively
- CDX IG traded notional and trade count decreased by 56% and 43%, respectively
- iTraxx Europe traded notional and trade count decreased by 49% and 47%, respectively
- 79% of total traded notional was cleared vs. 81% last year
- 76% of total traded notional was executed On SEF vs. 78% last year