Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 18% and 25%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 23%
    • FRAs traded notional and trade count increased by 8% and 16%, respectively
    • OIS traded notional and trade count increased by 80% and 78%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 55% of total traded notional was executed On SEF vs. 60% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count increased by 34% and 79%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 64%, respectively
    • FRAs traded notional and trade count increased by 99% and 160%, respectively
    • OIS traded notional decreased by 44%, while trade count increased by 74%
  • 90% of total traded notional was cleared vs. 89% last year
  • 69% of total traded notional executed On SEF vs. 55% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 17, 2020

  • SOFR traded notional totaled $15.5 billion, including $8.8 billion of basis swaps. Trade count totaled 62, including 24 basis swaps
  • SONIA traded notional totaled $101.7 billion, including $5.0 billion of basis swaps. Trade count totaled 396, including 53 basis swaps
  • SARON traded notional and trade count was $0.7 billion and 3, respectively
  • TONA traded notional and trade count was $3.7 billion and 12, respectively
  • There were no €STR trades

YTD Ending April 17, 2020

  • SOFR traded notional totaled $321.6 billion, including $159.0 billion of basis swaps. Trade count totaled 1,554, including 457 basis swaps
  • SONIA traded notional totaled $8.4 trillion, including $84.9 billion of basis swaps. Trade count totaled 9,419, including 618 basis swaps
  • SARON traded notional and trade count was $8.3 billion and 21, respectively
  • TONA traded notional totaled $124.9 billion, including $30 million of basis swaps. Trade count totaled 286, including 1 basis swap
  • €STR traded notional and trade count was $5.0 billion and 43, 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 67% and 62%, respectively
    • CDX HY traded notional and trade count increased by 78% and 70%, respectively
    • CDX IG traded notional and trade count increased by 85% and 81%, respectively
    • iTraxx Europe traded notional and trade count increased by 83% and 67%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 80% 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 145% and 146%, respectively
    • CDX HY traded notional and trade count increased by 193% and 168%, respectively
    • CDX IG traded notional and trade count increased by 256% and 300%, respectively
    • iTraxx Europe traded notional and trade count increased by 97% and 98%, respectively
  • 78% of total traded notional was cleared vs. 73% last year
  • 72% of total traded notional executed On SEF vs. 66% last year