Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 0.3%, while trade count increased by 15%
    • Fixed-for-floating IRS traded notional decreased by 12%, while trade count increased by 11%
    • FRAs traded notional and trade count increased by 3% and 26%, respectively
    • OIS traded notional and trade count increased by 14% and 42%, 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 42% and 12%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 36% and 13%, respectively
    • FRAs traded notional and trade count decreased by 33% and 5%, respectively
    • OIS traded notional and trade count decreased by 63% and 35%, respectively
  • 88% of total traded notional was cleared vs. 90% last year
  • 63% of total traded notional executed On SEF vs. 57% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 17, 2020

  • SOFR traded notional totaled $11.6 billion, including $4.6 billion of basis swaps. Trade count totaled 94, including 51 basis swaps
  • SONIA traded notional totaled $288.4 billion, including $13.3 billion of basis swaps. Trade count totaled 425, including 40 basis swaps
  • SARON traded notional and trade count was $1.6 billion and 4, respectively
  • TONA traded notional and trade count was $3.5 billion and 10, respectively
  • €STR traded notional and trade count was $5.8 billion and 9, respectively

YTD Ending July 17, 2020

  • SOFR traded notional totaled $514.6 billion, including $245.6 billion of basis swaps. Trade count totaled 2,456, including 712 basis swaps
  • SONIA traded notional totaled $10.7 trillion, including $154.8 billion of basis swaps. Trade count totaled 14,548, including 970 basis swaps
  • SARON traded notional and trade count was $24.9 billion and 54, respectively
  • TONA traded notional totaled $173.3 billion, including $50 million of basis swaps. Trade count totaled 430, including 2 basis swaps
  • €STR traded notional and trade count was $19.4 billion and 84, 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 36% and 34%, respectively
    • CDX HY traded notional and trade count increased by 41% and 35%, respectively
    • CDX IG traded notional and trade count increased by 52% and 54%, respectively
    • iTraxx Europe traded notional and trade count increased by 38% and 27%, 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 decreased by 3%, while trade count increased by 5%
    • CDX HY traded notional decreased by 3%, while trade count increased by 6%
    • CDX IG traded notional and trade count increased by 2% and 11%, respectively
    • iTraxx Europe traded notional and trade count decreased by 13% and 24%, respectively
  • 78% of total traded notional was cleared vs. 77% last year
  • 74% of total traded notional was executed On SEF, flat compared with last year