Check out the latest Transition to RFRs Review: Q3 of 2020 and Year-to-September 30, 2020 and SwapsInfo Q3 of 2020 and Year-to-September 30, 2020 Review.

 

Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 11%, while trade count increased by 5%
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 2%
    • FRAs traded notional decreased by 6%, while trade count increased by 16%
    • OIS traded notional decreased by 9%, while trade count increased by 25%
  • 90% of total traded notional was cleared vs. 89% last year
  • 60% of total traded notional was executed On SEF vs. 57% last year

 

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 32% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 17% and 9%, respectively
    • FRAs traded notional and trade count decreased by 63% and 64%, respectively
    • OIS traded notional decreased by 7%, while trade count increased by 40%
  • 85% of total traded notional was cleared vs. 84% last year
  • 60% of total traded notional executed On SEF vs. 56% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending November 6, 2020

  • SOFR traded notional totaled $37.0 billion, including $18.8 billion of basis swaps. Trade count totaled 385, including 137 basis swaps
  • SONIA traded notional totaled $258.3 billion, including $1.3 billion of basis swaps. Trade count totaled 632, including 11 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $4.8 billion and 12, respectively
  • €STR traded notional and trade count was $3.6 billion and 24, respectively

YTD Ending November 6, 2020

  • SOFR traded notional totaled $970.1 billion, including $461.9 billion of basis swaps. Trade count totaled 6,620, including 2,696 basis swaps
  • SONIA traded notional totaled $15.4 trillion, including $240.8 billion of basis swaps. Trade count totaled 21,899, including 1,333 basis swaps
  • SARON traded notional and trade count was $31.3 billion and 72, respectively
  • TONA traded notional totaled $231.7 billion, including $1.1 billion of basis swaps. Trade count totaled 575, including 4 basis swaps
  • €STR traded notional totaled $60.7 billion, including $40 million of basis swaps. Trade count totaled 325, including 1 basis swap

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count increased by 15% and 18%, respectively
    • CDX HY traded notional and trade count increased by 22% and 18%, respectively
    • CDX IG traded notional and trade count increased by 25% and 31%, respectively
    • iTraxx Europe traded notional and trade count increased by 13% and 8%, 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 increased by 32% and 44%, respectively
    • CDX HY traded notional and trade count increased by 49% and 46%, respectively
    • CDX IG traded notional and trade count increased by 63% and 72%, respectively
    • iTraxx Europe traded notional increased by 21% and 47%, respectively
  • 83% of total traded notional was cleared vs. 75% last year
  • 79% of total traded notional was executed On SEF vs. 71% last year