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 13% and 29%, respectively
    • OIS traded notional and trade count increased by 60% and 72%, 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 3% and 26%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 6% and 19%, respectively
    • FRAs traded notional and trade count increased by 36% and 82%, respectively
    • OIS traded notional decreased by 33%, while trade count increased by 19%
  • 91% of total traded notional was cleared vs. 87% last year
  • 65% of total traded notional executed On SEF vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 8, 2020

  • SOFR traded notional totaled $17.2 billion, including $7.9 billion of basis swaps. Trade count totaled 61, including 16 basis swaps
  • SONIA traded notional totaled $172.2 billion, including $1.0 billion of basis swaps. Trade count totaled 408, including 10 basis swaps
  • SARON traded notional and trade count was $1.0 billion and 2, respectively
  • TONA traded notional and trade count was $2.8 billion and 3, respectively
  • €STR traded notional and trade count was $0.1 billion and 2, respectively

YTD Ending May 8, 2020

  • SOFR traded notional totaled $363.4 billion, including $181.9 billion of basis swaps. Trade count totaled 1,736, including 510 basis swaps
  • SONIA traded notional totaled $8.9 trillion, including $88.7 billion of basis swaps. Trade count totaled 10,527, including 666 basis swaps
  • SARON traded notional and trade count was $9.4 billion and 24, respectively
  • TONA traded notional totaled $140.5 billion, including $30 million of basis swaps. Trade count totaled 329, including 1 basis swap
  • €STR traded notional and trade count was $8.5 billion and 52, 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 57% and 52%, respectively
    • CDX HY traded notional and trade count increased by 63% and 56%, respectively
    • CDX IG traded notional and trade count increased by 73% and 70%, respectively
    • iTraxx Europe traded notional and trade count increased by 72% and 60%, 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 46% and 44%, respectively
    • CDX HY traded notional and trade count decreased by 45% and 49%, respectively
    • CDX IG traded notional and trade count decreased by 44% and 32%, respectively
    • iTraxx Europe traded notional and trade count decreased by 49% and 41%, respectively
  • 79% of total traded notional was cleared vs. 83% last year
  • 77% of total traded notional was executed On SEF vs. 81% last year