Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 6% and 20%, respectively
    • Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 17%
    • FRAs traded notional and trade count increased by 6% and 24%, respectively
    • OIS traded notional and trade count increased by 32% and 55%, 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 28%, while trade count increased by 5%
    • Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 16%
    • FRAs traded notional and trade count decreased by 39% and 24%, respectively
    • OIS traded notional decreased by 41%, while trade count increased by 6%
  • 90% of total traded notional was cleared, flat compared with last year
  • 64% of total traded notional executed On SEF vs. 60% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 12, 2020

  • SOFR traded notional totaled $12.2 billion, including $3.0 billion of basis swaps. Trade count totaled 83, including 11 basis swaps
  • SONIA traded notional totaled $262.6 billion, including $3.3 billion of basis swaps. Trade count totaled 469, including 31 basis swaps
  • SARON traded notional and trade count was $1.4 billion and 4, respectively
  • TONA traded notional and trade count was $5.1 billion and 11, respectively
  • €STR traded notional and trade count was $0.2 billion and 3, respectively

YTD Ending June 12, 2020

  • SOFR traded notional totaled $447.5 billion, including $219.4 billion of basis swaps. Trade count totaled 2,042, including 560 basis swaps
  • SONIA traded notional totaled $10 trillion, including $104.5 billion of basis swaps. Trade count totaled 12,614, including 803 basis swaps
  • SARON traded notional and trade count was $13.7 billion and 34, respectively
  • TONA traded notional totaled $156.8 billion, including $30 million of basis swaps. Trade count totaled 389, including 1 basis swap
  • €STR traded notional and trade count was $9.4 billion and 60, 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 43% and 39%, respectively
    • CDX HY traded notional and trade count increased by 47% and 39%, respectively
    • CDX IG traded notional and trade count increased by 57% and 58%, respectively
    • iTraxx Europe traded notional and trade count increased by 49% and 37%, respectively
  • 83% of total traded notional was cleared vs. 81% 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 26% and 35%, respectively
    • CDX HY traded notional and trade count increased by 43% and 35%, respectively
    • CDX IG traded notional and trade count increased by 28% and 46%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 21%, respectively
  • 84% of total traded notional was cleared vs. 78% last year
  • 81% of total traded notional was executed On SEF vs. 77% last year