Due to a change in reporting logic within the DTCC SDR on November 21st, 2020, the clearing status was not consistently reported by some participants. 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 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 and trade count increased by 26% and 31%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 39% and 32%, respectively
- FRAs traded notional and trade count increased by 49% and 45%, respectively
- OIS traded notional and trade count increased by 5% and 38%, respectively
- 57% of total traded notional was executed On SEF vs. 47% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 11, 2020
- SOFR traded notional totaled $65.2 billion, including $18.4 billion of basis swaps. Trade count totaled 421, including 135 basis swaps
- SONIA traded notional totaled $329.4 billion, including $0.9 billion of basis swaps. Trade count totaled 756, including 9 basis swaps
- SARON traded notional and trade count was $0.6 billion and 1, respectively
- TONA traded notional and trade count was $5.8 billion and 18, respectively
- €STR traded notional and trade count was $2.5 billion and 37, respectively
YTD Ending December 11, 2020
- SOFR traded notional totaled $1.2 trillion, including $566.3 billion of basis swaps. Trade count totaled 8,374, including 3,351 basis swaps
- SONIA traded notional totaled $16.5 trillion, including $250.9 billion of basis swaps. Trade count totaled 24,820, including 1,398 basis swaps
- SARON traded notional and trade count was $32.6 billion and 76, respectively
- TONA traded notional totaled $248.3 billion, including $3.1 billion of basis swaps. Trade count totaled 626, including 7 basis swaps
- €STR traded notional totaled $76.3 billion, including $0.1 billion of basis swaps. Trade count totaled 473, including 3 basis swaps
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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 19%, respectively
- CDX IG traded notional and trade count increased by 24% and 31%, respectively
- iTraxx Europe traded notional and trade count increased by 14% and 9%, respectively
- 77% of total traded notional was executed On SEF, flat compared with last year
2020 Current Week vs. 2019 Current Week
- Total credit derivatives traded notional and trade count increased by 4% and 35%, respectively
- CDX HY traded notional and trade count decreased by 14% and 6%, respectively
- CDX IG traded notional decreased by 3%, while trade count increased by 7%
- iTraxx Europe traded notional and trade count increased by 33% and 39%, respectively
- 71% of total traded notional was executed On SEF, flat compared with last year
