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 10%, while trade count increased by 6%
    • Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 2%
    • FRAs traded notional decreased by 5%, while trade count increased by 18%
    • OIS traded notional decreased by 9%, while trade count increased by 24%
  • 91% 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 12% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 16% and 13%, respectively
    • FRAs traded notional and trade count increased by 9% and 17%, respectively
    • OIS traded notional decreased by 33%, while trade count increased by 29%
  • 90% of total traded notional was cleared vs. 89% last year
  • 65% of total traded notional executed On SEF vs. 52% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending October 30, 2020

  • SOFR traded notional totaled $37.2 billion, including $10.8 billion of basis swaps. Trade count totaled 440, including 176 basis swaps
  • SONIA traded notional totaled $203.3 billion, including $2.5 billion of basis swaps. Trade count totaled 470, including 21 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $6.5 billion and 12, respectively
  • €STR traded notional totaled $4.2 billion, including $40 million of basis swaps. Trade count totaled 37, including 1 basis swap.

YTD Ending October 30, 2020

  • SOFR traded notional totaled $932.7 billion, including $443.1 billion of basis swaps. Trade count totaled 6,230, including 2,559 basis swaps
  • SONIA traded notional totaled $15.1 trillion, including $239.5 billion of basis swaps. Trade count totaled 21,269, including 1,322 basis swaps
  • SARON traded notional and trade count was $30.7 billion and 71, respectively
  • TONA traded notional totaled $226.9 billion, including $1.1 billion of basis swaps. Trade count totaled 563, including 4 basis swaps
  • €STR traded notional totaled $57.1 billion, including $40 million of basis swaps. Trade count totaled 301, 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 21% and 18%, respectively
    • CDX IG traded notional and trade count increased by 24% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 13% and 7%, 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 38% and 45%, respectively
    • CDX HY traded notional and trade count increased by 80% and 63%, respectively
    • CDX IG traded notional and trade count increased by 34% and 44%, respectively
    • iTraxx Europe traded notional increased by 64% and 54%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 76% last year