RFR Adoption Q3 2024

  • 60-70-30 are the three numbers you need to know for RFR Trading now.
  • 60% is the percentage of global trading that takes place against RFRs.
  • 70% is the amount of the USD market that trades versus SOFR, down from 80% in Q2.
  • 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 previous blogs, 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 Q3 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 September 2024, the RFR Adoption Indicator stands at 61% vs 61% in September 2023 (yes, it really is unchanged over the past 12 months).
  • It has been between 58% and 66% since the end of Q1 2023.
  • There is no particular pattern to the monthly variations.
  • It was 63% in August, when exceptionally large volumes were traded.

RFR Trading in USD

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

Starting with USD:

  • September 2024 saw 67% of all USD risk traded in SOFR, down from 70% in September 2023.
  • This is lower than the all time highs we saw during Q2 2024.
  • Q3 2024 ranged from 67%-71%, down from 70-76% in Q3 2023.
  • These numbers mean that more Fed Funds risk is trading – probably as a result of the market adjusting monetary policy expectations.
  • These numbers include both Swaps and Futures. If we look at only Swaps, the amount of risk traded versus Fed Funds really jumped in Q3 2024. It rose from just 7% to 24%!
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

The “fight” for market share in EUR €STR futures continues apace, whilst Swaps market share (as a result of “active accounts“), is fairly static. The headlines:

  • September 2024 saw 34% of all EUR risk traded versus €STR. It was also 34% in September 2023, but has clearly been volatile in-between!
  • Q3 2024 ranged from 23% – 34%, compared to 25-35% in Q3 2023.

Comparing the EUR and USD Rates markets provides some useful benchmarks:

  • There was 83% more DV01 traded in USD (Swaps and Futures) than in EUR during Q3 2024.
  • Swaps markets in EUR and USD were the same size in Q3 – with $30bn DV01 traded in each.
  • Futures markets in USD rates are 3.9 times larger than in EUR.
DV01 Traded in $m. 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 has now reached 99%.
  • It was 76% in September 2023.
  • With CORRA the only available index, no surprises are expected from here.

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 only 27% of total AUD rates risk traded in September 2024, compared to 33% a year earlier.
  • Q3 2024 ranged from 27% – 40%, compared to 33-41% in Q3 2023.

In Summary

  • 60% of global rates trading occurs versus Risk Free Rates.
  • This has been consistent during 2024.
  • In Q3 2024, it was most volatile in AUD, ranging from 27-40%.
  • In USD Swaps, the amount of risk traded versus Fed Funds jumped from just 7% to 24%.
  • EUR and USD swaps markets were the same size in Q3.

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