RFR Adoption Q2 2024

  • RFR trading in Q2 looked a lot like Q1, with some changes in USD and EUR.
  • 60-80-30 are the three numbers you need to know for RFR Trading now.
  • 60% is the percentage of global trading that takes place against RFRs.
  • 80% is the amount of the USD market that trades versus SOFR.
  • 30% is the amount of the EUR market that trades versus €STR.

Time for a quarterly check-in on RFR trading. The data provides a high-level overview of trading activity across all Rates products.

Clarus API – CCPView

As a reminder from the previous blog, Clarus microservices allow me to query numerous volume measures from CCPView. That means I have rebuilt the RFR Adoption Indicator using just two queries to pull in DV01s traded across all products in eight currencies:

All data is sourced from CCPView

RFR Adoption Q2 2024

Stability. That is the key word for the past year when you look at the evolution of RFR trading as a percentage of all risk traded:

The RFR Adoption Indicator monitors the percentage of DV01 traded versus RFRs and the DV01 traded in Legacy Rates across 8 currencies

Showing;

  • As of June 2024, the RFR Adoption Indicator stands at 63% vs 59% in June 2023.
  • It has been between 59% and 66% since Q2 2023.
  • There is no particular pattern to the monthly variations.
  • It has been particularly static during Q2 2024, at 63-64%.

RFR Trading in USD

Percentage of USD DV01 traded versus SOFR in cleared Swaps and Futures. Source: CCPView

Starting with USD:

  • June 2024 saw 79% of all USD risk traded versus SOFR versus 59% in June 2023.
  • This is a new all time high.
  • Q2 2024 ranged from 75% – 79%, compared to 66-69% in Q2 2023.
  • More SOFR trading in USD means that there has been less Fed Funds traded.
  • These numbers include both Swaps and Futures. If we look at only Swaps, just 7% of risk was traded versus Fed Funds in June 2024, compared to 23% in June 2023:
DV01 of OIS in $m. Source: CCPView

RFR Trading in EUR

Percentage of EUR DV01 traded versus €STR in cleared Swaps and Futures. Source: CCPView

To state the blindingly obvious, EUR markets continue to trade across multiple rates/indices. There is a fight for market share in EUR €STR futures, and in CCP market share as a result of “active accounts“, whilst the overall split of EURIBOR and €STR is volatile:

  • June 2024 saw 27% of all EUR risk traded versus €STR. It was 29% in June 2023.
  • Q2 2024 ranged from 27% – 35%, compared to 27-29% in Q2 2023.

I get confused as to which is the larger market – EUR or USD. It is therefore useful to state that:

  • There is a larger total DV01 traded across all USD risk (Swaps and Futures) than in EUR.
  • Swaps markets in EUR are now consistently larger than in USD, as a result of USD LIBOR cessation.
  • Futures markets in USD rates are much larger than in EUR – like 4 times as big:
DV01 in $m traded in EUR and USD Rates futures. Source: CCPView
  • USD is therefore still the largest component of the overall RFR Adoption Indicator (because it looks at total risk).
  • Our data subscribers can cut this data any which way they choose using simple API queries.

RFR Trading in CAD

Percentage of CAD DV01 traded versus CORRA in cleared Swaps and Futures. Source: CCPView

Showing;

  • CAD CDOR publication ended on 28th June 2024.
  • CORRA adoption reached 97% in June 2024, a new all time high.
  • It was 60% in June 2023 and should now move up to 100% the next time I take a look at the data.

RFR Trading in AUD

Percentage of AUD DV01 traded versus AONIA in cleared Swaps and Futures. Source: CCPView
  • AUD is the other currency pursuing a multiple rate/index future. Check out the blogs here and here plus the podcast on AUD swaps for my thoughts on that!
  • AONIA trading accounted for 37% of total AUD rates risk traded in June 2024, compared to 45% a year earlier.
  • Q2 2024 ranged from 37% – 40%, compared to 42-45% in Q2 2023.

In Summary

  • 60% of global rates trading occurs versus Risk Free Rates.
  • This has been pretty consistent during 2024.
  • In Q2 2024, it was most volatile in EUR, ranging from 27-35%.
  • SOFR trading has been ticking higher in USD markets, now reaching nearly 80% – a new all time high.
  • CAD should now move to 100% of trading versus CORRA following CDOR cessation.

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