Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 13% and 12%, respectively
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 6%
    • FRAs traded notional and trade count increased by 9% and 15%, respectively
    • OIS traded notional and trade count increased by 81% and 59%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 57% 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 31% and 30%, respectively
    • Fixed-for-floating IRS traded notional decreased by 10%, while trade count increased by 18%
    • FRAs traded notional and trade count increased by 31% and 64%, respectively
    • OIS traded notional and trade count increased by 97% and 59%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 54% of total traded notional executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data

Week Ending February 21, 2020

  • SOFR traded notional totaled $20.9 billion, including $8.3 billion of basis swaps. Trade count totaled 78, including 27 basis swaps
  • SONIA traded notional totaled $285.1 billion, including $1.0 billion of basis swaps. Trade count totaled 410, including 11 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $14.6 billion and 33, respectively
  • €STR traded notional and trade count was $0.1 billion and 1, respectively

YTD Ending February 21, 2020

  • SOFR traded notional totaled $140.7 billion, including $78.5 billion of basis swaps. Trade count totaled 593, including 236 basis swaps
  • SONIA traded notional totaled $4.8 trillion, including $35.5 billion of basis swaps. Trade count totaled 4,634, including 208 basis swaps
  • SARON traded notional and trade count was $3.1 billion and 8, respectively
  • TONA traded notional and trade count was $41.7 billion and 104, respectively
  • €STR traded notional and trade count was $0.3 billion and 7, 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 2% and 8%, respectively
    • CDX HY traded notional and trade count decreased by 2% and 3%, respectively
    • CDX IG traded notional increased by 6%, while trade count decreased by 0.4%
    • iTraxx Europe traded notional increased by 12%, while trade count decreased by 7%
  • 81% of total traded notional was cleared vs. 79% last year
  • 77% 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 increased by 15% and 8%, respectively
    • CDX HY traded notional and trade count increased by 34% and 43%, respectively
    • CDX IG traded notional and trade count increased by 39% and 30%, respectively
    • iTraxx Europe traded notional increased by 6%, while trade count decreased by 16%
  • 80% of total traded notional was cleared vs. 77% last year
  • 76% of total traded notional executed On SEF vs. 72% last year