Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 26% and 24%, respectively
    • Fixed-for-floating IRS traded notional decreased by 3%, while trade count increased by 25%
    • FRAs traded notional increased by 0.6%, while trade count decreased by 1%
    • OIS traded notional and trade count increased by 134% and 97%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 51% of total traded notional was executed On SEF vs. 61% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 7%, while trade count increased by 36%
    • Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 39%
    • FRAs traded notional and trade count increased by 9% and 48%, respectively
    • OIS traded notional decreased by 17%, while trade count increased by 48%
  • 92% of total traded notional was cleared vs. 88% last year
  • 58% of total traded notional executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data

Week Ending March 20, 2020

  • SOFR traded notional totaled $14.5 billion, including $4.6 billion of basis swaps. Trade count totaled 85, including 16 basis swaps
  • SONIA traded notional totaled $223.7 trillion, including $3.5 billion of basis swaps. Trade count totaled 624, including 42 basis swaps
  • SARON traded notional and trade count was $2.7 billion and 6, respectively
  • TONA traded notional totaled $6.8 billion, including $30 million of basis swaps. Trade count totaled 16, including 1 basis swap
  • €STR traded notional and trade count was $0.1 billion and 1, respectively

YTD Ending March 20, 2020

  • SOFR traded notional totaled $260.1 billion, including $122.3 billion of basis swaps. Trade count totaled 1,225, including 366 basis swaps
  • SONIA traded notional totaled $7.8 trillion, including $71.3 billion of basis swaps. Trade count totaled 7,634, including 462 basis swaps
  • SARON traded notional and trade count was $7.5 billion and 16, respectively
  • TONA traded notional totaled $102.9 billion, including $30 million of basis swaps. Trade count totaled 242, including 1 basis swap
  • €STR traded notional and trade count was $3.5 billion and 27, respectively

Click Here to View Historical Benchmark Data

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count increased by 63% and 56%, respectively
    • CDX HY traded notional and trade count increased by 83% and 65%, respectively
    • CDX IG traded notional and trade count increased by 73% and 65%, respectively
    • iTraxx Europe traded notional and trade count increased by 87% and 64%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 79% of total traded notional was executed On SEF vs.77% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 32% and 56%, respectively
    • CDX HY traded notional and trade count increased by 145% and 100%, respectively
    • CDX IG traded notional and trade count increased by 42% and 73%, respectively
    • iTraxx Europe traded notional and trade count increased by 21% and 46%, respectively
  • 84% of total traded notional was cleared vs. 86% last year
  • 79% of total traded notional executed On SEF vs. 82% last year