Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 28% and 23%, respectively
    • Fixed-for-floating IRS traded notional decreased by 2%, while trade count increased by 24%
    • FRAs traded notional increased by 0.1%, while trade count decreased by 3%
    • OIS traded notional and trade count increased by 152% and 102%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 51% of total traded notional was executed On SEF vs. 61% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count increased by 18% and 49%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 31% and 84%, respectively
    • FRAs traded notional and trade count decreased by 44% and 62%, respectively
    • OIS traded notional and trade count increased by 133% and 160%, respectively
  • 91% of total traded notional was cleared vs. 88% last year
  • 44% of total traded notional executed On SEF vs. 61% last year

Interest Rate Derivatives: Benchmark Data

Week Ending March 13, 2020

  • SOFR traded notional totaled $22.7 billion, including $9.0 billion of basis swaps. Trade count totaled 142, including 39 basis swaps
  • SONIA traded notional totaled $470.1 trillion, including $11.3 billion of basis swaps. Trade count totaled 724, including 66 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $19.8 billion and 48, respectively
  • €STR traded notional and trade count was $2.5 billion and 10, respectively

YTD Ending March 13, 2020

  • SOFR traded notional totaled $245.6 billion, including $117.8 billion of basis swaps. Trade count totaled 1,140, including 350 basis swaps
  • SONIA traded notional totaled $7.6 trillion, including $69.0 billion of basis swaps. Trade count totaled 7,015, including 421 basis swaps
  • SARON traded notional and trade count was $4.8 billion and 10, respectively
  • TONA traded notional and trade count was $96.1 billion and 226, respectively
  • €STR traded notional and trade count was $3.4 billion and 26, 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 69% and 56%, respectively
    • CDX HY traded notional and trade count increased by 77% and 62%, respectively
    • CDX IG traded notional and trade count increased by 80% and 64%, respectively
    • iTraxx Europe traded notional and trade count increased by 103% and 67%, respectively
  • 82% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs.76% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 207% and 170%, respectively
    • CDX HY traded notional and trade count increased by 198% and 161%, respectively
    • CDX IG traded notional and trade count increased by 187% and 166%, respectively
    • iTraxx Europe traded notional and trade count increased by 301% and 242%, respectively
  • 84% of total traded notional was cleared vs. 81% last year
  • 80% of total traded notional executed On SEF vs. 78% last year