Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 10% and 3%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 24% and 6%, respectively
    • FRAs traded notional and trade count increased by 22% and 19%, respectively
    • OIS traded notional and trade count increased by 53% and 37%, respectively
  • 92% of total traded notional was cleared vs. 89% last year
  • 63% 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 24% and 20%, respectively
    • Fixed-for-floating IRS traded notional decreased by 8%, while trade count increased by 23%
    • FRAs traded notional and trade count increased by 12% and 0.5%, respectively
    • OIS traded notional and trade count increased by 144% and 59%, respectively
  • 92% of total traded notional was cleared vs. 88% last year
  • 59% of total traded notional executed On SEF vs. 62% last year

Interest Rate Derivatives: Benchmark Data

Week Ending January 24, 2020

  • SOFR traded notional totaled $20.9 billion, including $14.2 billion of basis swaps. Trade count totaled 81, including 36 basis swaps
  • SONIA traded notional totaled $900.7 billion, including $2.2 billion of basis swaps. Trade count totaled 600, including 18 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 2, respectively
  • TONA traded notional and trade count was $11 billion and 25, respectively
  • There were no €STR trades

YTD Ending January 24, 2020

  • SOFR traded notional totaled $46.5 billion, including $32.2 billion of basis swaps. Trade count totaled 207, including 102 basis swaps
  • SONIA traded notional totaled $2.5 trillion, including $18.6 billion of basis swaps. Trade count totaled 2,292, including 79 basis swaps
  • SARON traded notional and trade count was $3.1 billion and 8, respectively
  • TONA traded notional and trade count was $18.5 billion and 49, 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 22% and 27%, respectively
    • CDX HY traded notional and trade count decreased by 29% and 33%, respectively
    • CDX IG traded notional and trade count decreased by 18% and 21%, respectively
    • iTraxx Europe traded notional and trade count decreased by 11% and 25%, respectively
  • 78% of total traded notional was cleared vs. 79% last year
  • 74% of total traded notional was executed On SEF vs.75% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 7% and 6%, respectively
    • CDX HY traded notional and trade count increased by 63% and 35%, respectively
    • CDX IG traded notional and trade count increased by 18% and 12%, respectively
    • iTraxx Europe traded notional increased by 6%, while trade count decreased by 8%
  • 82% of total traded notional was cleared vs. 78% last year
  • 79% of total traded notional was executed On SEF vs. 73% last year