Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 12% and 23%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 21%
    • FRAs traded notional and trade count increased by 9% and 26%, respectively
    • OIS traded notional and trade count increased by 47% and 66%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 57% of total traded notional was executed On SEF vs. 59% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 25%, while trade count increased by 3%
    • Fixed-for-floating IRS traded notional and trade count decreased by 18% and 1%, respectively
    • FRAs traded notional decreased by 27%, while trade count increased by 5%
    • OIS traded notional decreased by 41%, while trade count increased by 4%
  • 90% of total traded notional was cleared vs. 91% last year
  • 60% of total traded notional executed On SEF vs. 59% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 22, 2020

  • SOFR traded notional totaled $18.6 billion, including $8.9 billion of basis swaps. Trade count totaled 55, including 9 basis swaps
  • SONIA traded notional totaled $304.8 billion, including $4.9 billion of basis swaps. Trade count totaled 494, including 30 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $1.9 billion and 11, respectively
  • €STR traded notional and trade count was $40 million and 2, respectively

YTD Ending May 22, 2020

  • SOFR traded notional totaled $407.1 billion, including $204.3 billion of basis swaps. Trade count totaled 1,857, including 538 basis swaps
  • SONIA traded notional totaled $9.4 trillion, including $95.9 billion of basis swaps. Trade count totaled 11,545, including 724 basis swaps
  • SARON traded notional and trade count was $10.5 billion and 27, respectively
  • TONA traded notional totaled $144.0 billion, including $30 million of basis swaps. Trade count totaled 346, including 1 basis swap
  • €STR traded notional and trade count was $9.2 billion and 56, 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 49% and 45%, respectively
    • CDX HY traded notional and trade count increased by 53% and 46%, respectively
    • CDX IG traded notional and trade count increased by 66% and 64%, respectively
    • iTraxx Europe traded notional and trade count increased by 59% and 47%, 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 6% and 4%, respectively
    • CDX HY traded notional and trade count both decreased by 12%
    • CDX IG traded notional and trade count increased by 28% and 40%, respectively
    • iTraxx Europe traded notional and trade count decreased by 16% and 19%, respectively
  • 80% of total traded notional was cleared vs. 82% last year
  • 76% of total traded notional was executed On SEF vs. 80% last year