Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 10% and 22%, respectively
    • Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 19%
    • FRAs traded notional and trade count increased by 8% and 26%, respectively
    • OIS traded notional and trade count increased by 44% and 64%, 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 22% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 30% and 16%, respectively
    • FRAs traded notional decreased by 11%, while trade count increased by 34%
    • OIS traded notional decreased by 20%, while trade count increased by 14%
  • 91% of total traded notional was cleared vs. 88% last year
  • 64% of total traded notional executed On SEF vs. 52% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending May 29, 2020

  • SOFR traded notional totaled $16.0 billion, including $6.1 billion of basis swaps. Trade count totaled 65, including 7 basis swaps
  • SONIA traded notional totaled $173.7 billion, including $3.3 billion of basis swaps. Trade count totaled 269, including 30 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $4.9 billion and 12, respectively
  • €STR traded notional and trade count was $30 million and 1, respectively

YTD Ending May 29, 2020

  • SOFR traded notional totaled $423.0 billion, including $210.3 billion of basis swaps. Trade count totaled 1,922, including 545 basis swaps
  • SONIA traded notional totaled $9.6 trillion, including $99.3 billion of basis swaps. Trade count totaled 11,815, including 755 basis swaps
  • SARON traded notional and trade count was $11.1 billion and 28, respectively
  • TONA traded notional totaled $149.0 billion, including $30 million of basis swaps. Trade count totaled 358, 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 46% and 42%, respectively
    • CDX HY traded notional and trade count increased by 49% and 43%, respectively
    • CDX IG traded notional and trade count increased by 62% and 61%, respectively
    • iTraxx Europe traded notional and trade count increased by 54% and 43%, 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
  • Total credit derivatives traded notional and trade count decreased by 20% and 16%, respectively
    • CDX HY traded notional and trade count decreased by 32% and 27%, respectively
    • CDX IG traded notional and trade count decreased by 15% and 0.3%, respectively
    • iTraxx Europe traded notional and trade count decreased by 21% and 22%, respectively
  • 82% of total traded notional was cleared vs. 83% last year
  • 78% of total traded notional was executed On SEF, flat compared with last year