Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 18% and 26%, respectively
    • Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 24%
    • FRAs traded notional and trade count increased by 11% and 23%, respectively
    • OIS traded notional and trade count increased by 74% and 78%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 56% 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 21% and 59%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 13% and 32%, respectively
    • FRAs traded notional and trade count increased by 64% and 203%, respectively
    • OIS traded notional decreased by 32%, while trade count increased by 66%
  • 93% of total traded notional was cleared vs. 89% last year
  • 69% of total traded notional executed On SEF vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 24, 2020

  • SOFR traded notional totaled $15.7 billion, including $8.3 billion of basis swaps. Trade count totaled 73, including 25 basis swaps
  • SONIA traded notional totaled $122.3 billion, including $1.5 billion of basis swaps. Trade count totaled 341, including 21 basis swaps
  • SARON traded notional and trade count was $10 million and 1, respectively
  • TONA traded notional and trade count was $5.4 billion and 26, respectively
  • €STR traded notional and trade count was $0.2 billion and 4, respectively

YTD Ending April 24, 2020

  • SOFR traded notional totaled $337.2 billion, including $167.3 billion of basis swaps. Trade count totaled 1,628, including 482 basis swaps
  • SONIA traded notional totaled $8.5 trillion, including $86.4 billion of basis swaps. Trade count totaled 9,760, including 639 basis swaps
  • SARON traded notional and trade count was $8.3 billion and 22, respectively
  • TONA traded notional totaled $130.3 billion, including $30 million of basis swaps. Trade count totaled 312, including 1 basis swap
  • €STR traded notional and trade count was $5.2 billion and 47, 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 66% and 61%, respectively
    • CDX HY traded notional and trade count increased by 75% and 68%, 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 68%, 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 49% and 55%, respectively
    • CDX HY traded notional and trade count increased by 26% and 46%, respectively
    • CDX IG traded notional and trade count increased by 75% and 86%, respectively
    • iTraxx Europe traded notional and trade count increased by 71% and 73%, respectively
  • 82% of total traded notional was cleared vs. 78% last year
  • 78% of total traded notional executed On SEF vs. 74% last year