Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 1% and 16%, respectively
    • Fixed-for-floating IRS traded notional decreased by 12%, while trade count increased by 12%
    • FRAs traded notional and trade count increased by 4% and 27%, respectively
    • OIS traded notional and trade count increased by 17% and 45%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 59% of total traded notional was executed On SEF, flat compared with last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 32% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 37% and 21%, respectively
    • FRAs traded notional decreased by 13%, while trade count increased by 21%
    • OIS traded notional and trade count decreased by 57% and 12%, respectively
  • 89% of total traded notional was cleared vs. 90% last year
  • 70% of total traded notional executed On SEF vs. 59% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 10, 2020

  • SOFR traded notional totaled $11.9 billion, including $3.4 billion of basis swaps. Trade count totaled 68, including 26 basis swaps
  • SONIA traded notional totaled $112.7 billion, including $2.6 billion of basis swaps. Trade count totaled 348, including 23 basis swaps
  • SARON traded notional and trade count was $0.5 billion and 2, respectively
  • TONA traded notional and trade count was $1.1 billion and 5, respectively
  • €STR traded notional and trade count was $0.2 billion and 3, respectively

YTD Ending July 10, 2020

  • SOFR traded notional totaled $503.0 billion, including $240.9 billion of basis swaps. Trade count totaled 2,362, including 661 basis swaps
  • SONIA traded notional totaled $10.4 trillion, including $141.5 billion of basis swaps. Trade count totaled 14,123, including 930 basis swaps
  • SARON traded notional and trade count was $23.3 billion and 50, respectively
  • TONA traded notional totaled $169.9 billion, including $50 million of basis swaps. Trade count totaled 420, including 2 basis swaps
  • €STR traded notional and trade count was $13.6 billion and 75, 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 37% and 35%, respectively
    • CDX HY traded notional and trade count increased by 42% and 36%, respectively
    • CDX IG traded notional and trade count increased by 53% and 55%, respectively
    • iTraxx Europe traded notional and trade count increased by 39% and 28%, 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 18% and 3%, respectively
    • CDX HY traded notional and trade count increased by 10% and 7%, respectively
    • CDX IG traded notional decreased by 6%, while trade count increased by 16%
    • iTraxx Europe traded notional and trade count decreased by 29% and 26%, respectively
  • 81% of total traded notional was cleared vs. 74% last year
  • 79% of total traded notional was executed On SEF vs. 73% last year