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 August report is available here.

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

• Total IRD traded notional decreased by 9%, while trade count increased by 8%
  • Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 4%
  • FRAs traded notional decreased by 3%, while trade count increased by 21%
  • OIS traded notional decreased by 6%, while trade count increased by 24%
• 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 41% and 18%, respectively
  • Fixed-for-floating IRS traded notional and trade count decreased by 24% and 21%, respectively
  • FRAs traded notional and trade count decreased by 44% and 17%, respectively
  • OIS traded notional and trade count decreased by 54% and 15%, respectively
• 90% of total traded notional was cleared, flat compared with last year
• 57% of total traded notional executed On SEF vs. 47% last year

Interest Rate Derivatives: Benchmark Data

Week Ending September 18, 2020

• SOFR traded notional totaled $32.1 billion, including $21.6 billion of basis swaps. Trade count totaled 225, including 95 basis swaps
• SONIA traded notional totaled $515.5 billion, including $6.0 billion of basis swaps. Trade count totaled 728, including 33 basis swaps
• SARON traded notional and trade count was $0.2 billion and 3, respectively
• TONA traded notional and trade count was $1.8 billion and 4, respectively
• €STR traded notional and trade count was $0.8 billion and 11, respectively

YTD Ending September 18, 2020

• SOFR traded notional totaled $661.9 billion, including $318.0 billion of basis swaps. Trade count totaled 3,501, including 1,173 basis swaps
• SONIA traded notional totaled $13.0 trillion, including $196.8 billion of basis swaps. Trade count totaled 18,159, including 1,160 basis swaps
• SARON traded notional and trade count was $30.1 billion and 70, respectively
• TONA traded notional totaled $198.6 billion, including $0.1 billion of basis swaps. Trade count totaled 505, including 3 basis swaps
• €STR traded notional and trade count was $32.7 billion and 185, 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 15% and 18%, respectively
  • CDX HY traded notional and trade count increased by 23% and 19%, respectively
  • CDX IG traded notional and trade count increased by 25% and 31%, respectively
  • iTraxx Europe traded notional and trade count increased by 11% and 6%, respectively
• 82% 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 51% and 33%, respectively
  • CDX HY traded notional and trade count decreased by 10% and 1%, respectively
  • CDX IG traded notional and trade count decreased by 49% and 37%, respectively
  • iTraxx Europe traded notional and trade count decreased by 70% and 64%, respectively
• 77% of total traded notional was cleared vs. 82% last year
• 75% of total traded notional was executed On SEF vs. 79% last year