DTCC SDR has resumed reporting the execution venue type field as of December 5^th, 2020, following the termination of that data field as of November 21^st, 2020. SwapsInfo SEF-execution metrics will be resumed starting next week. There are still reporting issues with clearing data for the week ending December 4^th, 2020. Therefore, clearing metrics are not included in the below analysis.

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 14%, while trade count increased by 2%
  • FRAs traded notional decreased by 8%, while trade count increased by 13%
  • OIS traded notional decreased by 10%, while trade count increased by 25%

2020 Current Week vs. 2019 Current Week

• Total IRD traded notional and trade count decreased by 32% and 1%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 2% and 12%, respectively
  • FRAs traded notional and trade count decreased by 69% and 70%, respectively
  • OIS traded notional decreased by 35%, while trade count increased by 11%

Interest Rate Derivatives: Benchmark Data

Week Ending December 4, 2020

• SOFR traded notional totaled $39.8 billion, including $19.6 billion of basis swaps. Trade count totaled 301, including 103 basis swaps
• SONIA traded notional totaled $165.8 billion, including $4.8 billion of basis swaps. Trade count totaled 490, including 16 basis swaps
• SARON traded notional and trade count was $0.1 billion and 1, respectively
• TONA traded notional totaled $2.0 billion, including $10 million of basis swaps. Trade count totaled 7, including 1 basis swap
• €STR traded notional and trade count was $4.2 billion and 46, respectively

YTD Ending December 4, 2020

• SOFR traded notional totaled $1.2 trillion, including $548.0 billion of basis swaps. Trade count totaled 7,947, including 3,216 basis swaps
• SONIA traded notional totaled $16.1 trillion, including $250.0 billion of basis swaps. Trade count totaled 24,064, including 1,389 basis swaps
• SARON traded notional and trade count was $32.0 billion and 75, respectively
• TONA traded notional totaled $242.4 billion, including $3.1 billion of basis swaps. Trade count totaled 608, including 7 basis swaps
• €STR traded notional totaled $73.8 billion, including $0.1 billion of basis swaps. Trade count totaled 436, including 3 basis swaps

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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 19%, 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 9%, respectively

2020 Current Week vs. 2019 Current Week

• Total credit derivatives traded notional and trade count decreased by 12% and 3%, respectively
  • CDX HY traded notional and trade count both increased by 5%
  • CDX IG traded notional decreased by 8%, while trade count increased by 5%
  • iTraxx Europe traded notional decreased by 19%, while trade count increased by 4%