Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional increased by 6%, while trade count decreased by 1%
    • Fixed-for-floating IRS traded notional and trade count decreased by 29% and 14%, respectively
    • FRAs traded notional and trade count increased by 25% and 26%, respectively
    • OIS traded notional and trade count both increased by 30%
  • 92% of total traded notional was cleared vs. 89% last year
  • 65% of total traded notional was executed On SEF vs. 62% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count increased by 15% and 12%, respectively
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 1%
    • FRAs traded notional and trade count increased by 9% and 15%, respectively
    • OIS traded notional and trade count increased by 105% and 74%, respectively
  • 91% of total traded notional was cleared vs. 90% last year
  • 58% of total traded notional executed On SEF vs. 64% last year

Interest Rate Derivatives: Benchmark Data

Week Ending January 17, 2020

  • SOFR traded notional totaled $13.4 billion, including $11.8 billion of basis swaps. Trade count totaled 59, including 37 basis swaps
  • SONIA traded notional totaled $1.0 trillion, including $12.5 billion of basis swaps. Trade count totaled 927, including 37 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 2, respectively
  • TONA traded notional and trade count was $2.5 billion and 4, respectively
  • €STR traded notional and trade count was $10 million and 2, respectively

YTD Ending January 17, 2020

  • SOFR traded notional totaled $25.6 billion, including $18.0 billion of basis swaps. Trade count totaled 126, including 66 basis swaps
  • SONIA traded notional totaled $1.6 trillion, including $16.3 billion of basis swaps. Trade count totaled 1,693, including 61 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 5, respectively
  • TONA traded notional and trade count was $7.5 billion and 24, respectively
  • €STR traded notional and trade count was $10 million and 2, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count decreased by 29% and 36%, respectively
    • CDX HY traded notional and trade count decreased by 44% and 47%, respectively
    • CDX IG traded notional and trade count decreased by 27% and 30%, respectively
    • iTraxx Europe traded notional and trade count decreased by 17% and 30%, respectively
  • 76% of total traded notional was cleared vs. 80% last year
  • 73% of total traded notional was executed On SEF vs. 76% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count both decreased by 29%
    • CDX HY traded notional and trade count decreased by 31% and 32%, respectively
    • CDX IG traded notional and trade count decreased by 26% and 21%, respectively
    • iTraxx Europe traded notional and trade count decreased by 23% and 35%, respectively
  • 78% of total traded notional was cleared vs. 79% last year
  • 74% of total traded notional was executed On SEF vs. 73% last year