Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 17% and 26%, respectively
    • Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 23%
    • FRAs traded notional and trade count increased by 12% and 26%, respectively
    • OIS traded notional and trade count increased by 66% and 75%, 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 5% and 27%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 13%
    • FRAs traded notional and trade count increased by 57% and 93%, respectively
    • OIS traded notional decreased by 35%, while trade count increased by 28%
  • 92% of total traded notional was cleared vs. 88% last year
  • 63% of total traded notional executed On SEF vs. 53% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 1, 2020

  • SOFR traded notional totaled $8.9 billion, including $6.6 billion of basis swaps. Trade count totaled 47, including 12 basis swaps
  • SONIA traded notional totaled $224.0 billion, including $1.3 billion of basis swaps. Trade count totaled 365, including 17 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $7.4 billion and 14, respectively
  • €STR traded notional and trade count was $3.3 billion and 3, respectively

YTD Ending May 1, 2020

  • SOFR traded notional totaled $346.2 billion, including $173.9 billion of basis swaps. Trade count totaled 1,675, including 494 basis swaps
  • SONIA traded notional totaled $8.7 trillion, including $87.7 billion of basis swaps. Trade count totaled 10,125, including 656 basis swaps
  • SARON traded notional and trade count was $8.3 billion and 22, respectively
  • TONA traded notional totaled $137.7 billion, including $30 million of basis swaps. Trade count totaled 326, including 1 basis swap
  • €STR traded notional and trade count was $8.5 billion and 50, 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 64% and 60%, respectively
    • CDX HY traded notional and trade count increased by 73% and 67%, respectively
    • CDX IG traded notional and trade count increased by 82% and 78%, respectively
    • iTraxx Europe traded notional and trade count increased by 82% and 67%, 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 16% and 27%, respectively
    • CDX HY traded notional and trade count increased by 21% and 31%, respectively
    • CDX IG traded notional and trade count increased by 9% and 22%, respectively
    • iTraxx Europe traded notional and trade count increased by 38% and 50%, respectively
  • 81% of total traded notional was cleared vs. 79% last year
  • 76% of total traded notional executed On SEF, flat compared with last year