Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 8% and 21%, respectively
    • Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 17%
    • FRAs traded notional and trade count increased by 8% and 27%, respectively
    • OIS traded notional and trade count increased by 36% and 58%, 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 and trade count decreased by 32% and 0.3%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 32% and 9%, respectively
    • FRAs traded notional decreased by 1%, while trade count increased by 67%
    • OIS traded notional and trade count decreased by 64% and 27%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 67% of total traded notional executed On SEF vs. 55% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 5, 2020

  • SOFR traded notional totaled $12.1 billion, including $6.0 billion of basis swaps. Trade count totaled 35, including 3 basis swaps
  • SONIA traded notional totaled $138.9 billion, including $1.9 billion of basis swaps. Trade count totaled 335, including 17 basis swaps
  • SARON traded notional and trade count was $1.1 billion and 2, respectively
  • TONA traded notional and trade count was $2.8 billion and 20, respectively
  • There were no €STR trades

YTD Ending June 5, 2020

  • SOFR traded notional totaled $453.3 billion, including $216.5 billion of basis swaps. Trade count totaled 1,959, including 549 basis swaps
  • SONIA traded notional totaled $9.7 trillion, including $101.2 billion of basis swaps. Trade count totaled 12,150, including 772 basis swaps
  • SARON traded notional and trade count was $12.2 billion and 30, respectively
  • TONA traded notional totaled $151.7 billion, including $30 million of basis swaps. Trade count totaled 378, including 1 basis swap
  • €STR traded notional and trade count was $9.2 billion and 57, 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 40%, respectively
    • CDX HY traded notional and trade count increased by 47% and 40%, respectively
    • CDX IG traded notional and trade count increased by 59% and 58%, respectively
    • iTraxx Europe traded notional and trade count increased by 49% and 38%, 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 decreased by 2% and 3%, respectively
    • CDX HY traded notional increased by 10%, while trade count decreased by 8%
    • CDX IG traded notional decreased by 1%, while trade count increased by 12%
    • iTraxx Europe traded notional and trade count decreased by 21% and 27%, respectively
  • 84% of total traded notional was cleared, flat compared with last year
  • 81% of total traded notional was executed On SEF vs. 80% last year