Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 2%, while trade count increased by 14%
    • Fixed-for-floating IRS traded notional decreased by 14%, while trade count increased by 9%
    • FRAs traded notional and trade count increased by 3% and 26%, respectively
    • OIS traded notional and trade count increased by 8% and 37%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 59% of total traded notional was executed On SEF vs. 58% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 28% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 37% and 25%, respectively
    • FRAs traded notional and trade count increased by 17% and 43%, respectively
    • OIS traded notional and trade count decreased by 57% and 18%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 65% of total traded notional executed On SEF vs. 54% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending July 31, 2020

  • SOFR traded notional totaled $18.9 billion, including $10.7 billion of basis swaps. Trade count totaled 84, including 33 basis swaps
  • SONIA traded notional totaled $184.7 billion, including $5.2 billion of basis swaps. Trade count totaled 293, including 19 basis swaps
  • SARON traded notional and trade count was $20 million and 1, respectively
  • TONA traded notional and trade count was $1.7 billion and 6, respectively
  • €STR traded notional and trade count was $5.2 billion and 20, respectively

YTD Ending July 31, 2020

  • SOFR traded notional totaled $546.2 billion, including $260.6 billion of basis swaps. Trade count totaled 2,626, including 778 basis swaps
  • SONIA traded notional totaled $11.1 trillion, including $164.8 billion of basis swaps. Trade count totaled 15,146, including 1,005 basis swaps
  • SARON traded notional and trade count was $26.3 billion and 59, respectively
  • TONA traded notional totaled $176.9 billion, including $50 million of basis swaps. Trade count totaled 440, including 2 basis swaps
  • €STR traded notional and trade count was $24.6 billion and 105, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count both increased by 31%
    • CDX HY traded notional and trade count increased by 37% and 32%, respectively
    • CDX IG traded notional and trade count increased by 46% and 49%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 21%, 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 49% and 29%, respectively
    • CDX HY traded notional and trade count decreased by 33% and 36%, respectively
    • CDX IG traded notional and trade count decreased by 49% and 31%, respectively
    • iTraxx Europe traded notional and trade count decreased by 69% and 58%, respectively
  • 81% of total traded notional was cleared vs. 80% last year
  • 77% of total traded notional was executed On SEF, flat compared with last year