Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 14% and 25%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 22%
    • FRAs traded notional and trade count increased by 11% and 27%, respectively
    • OIS traded notional and trade count increased by 52% and 69%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 57% 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 decreased by 33% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 27% and 5%, respectively
    • FRAs traded notional and trade count decreased by 29% and 5%, respectively
    • OIS traded notional decreased by 49%, while trade count increased by 20%
  • 90% of total traded notional was cleared vs. 89% last year
  • 64% of total traded notional executed On SEF vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 15, 2020

  • SOFR traded notional totaled $25.0 billion, including $13.5 billion of basis swaps. Trade count totaled 66, including 19 basis swaps
  • SONIA traded notional totaled $189.0 billion, including $2.3 billion of basis swaps. Trade count totaled 531, including 28 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 2, respectively
  • TONA traded notional and trade count was $1.6 billion and 6, respectively
  • €STR traded notional and trade count was $0.6 billion and 2, respectively

YTD Ending May 15, 2020

  • SOFR traded notional totaled $388.4 billion, including $195.4 billion of basis swaps. Trade count totaled 1,802, including 529 basis swaps
  • SONIA traded notional totaled $9.1 trillion, including $91.0 billion of basis swaps. Trade count totaled 11,051, including 694 basis swaps
  • SARON traded notional and trade count was $9.9 billion and 26, respectively
  • TONA traded notional totaled $142.1 billion, including $30 million of basis swaps. Trade count totaled 335, including 1 basis swap
  • €STR traded notional and trade count was $9.1 billion and 54, 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 51% and 47%, respectively
    • CDX HY traded notional and trade count increased by 56% and 50%, respectively
    • CDX IG traded notional and trade count increased by 67% and 65%, respectively
    • iTraxx Europe traded notional and trade count increased by 62% and 51%, 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 decreased by 33% and 30%, respectively
    • CDX HY traded notional and trade count both decreased by 33%
    • CDX IG traded notional and trade count decreased by 18% and 13%, respectively
    • iTraxx Europe traded notional and trade count decreased by 60% and 53%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 80% of total traded notional was executed On SEF vs. 77% last year