Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional increased by 2%, while trade count decreased by 9%
    • Fixed-for-floating IRS traded notional and trade count decreased by 36% and 22%, respectively
    • FRAs traded notional and trade count increased by 36% and 33%, respectively
    • OIS  traded notional decreased by 4%, while trade count increased by 9%
  • 92% of total traded notional was cleared vs. 89% last year
  • 69% 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 12% and 6%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 21% and 7%, respectively
    • FRAs traded notional and trade count increased by 26% and 33%, respectively
    • OIS traded notional and trade count increased by 38% and 36%, respectively
  • 91% of total traded notional was cleared vs. 90% last year
  • 68% of total traded notional executed On SEF, flat compared with last year

Interest Rate Derivatives: Benchmark Data

Week Ending January 10, 2020

  • SOFR traded notional totaled $8.3 billion, including $4.4 billion of basis swaps. Trade count totaled 51, including 24 basis swaps
  • SONIA traded notional totaled $551.7 billion, including $3.3 billion of basis swaps. Trade count totaled 656, including 20 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $5.0 billion and 20, respectively
  • There were no €STR trades

YTD Ending January 10, 2020

  • SOFR traded notional totaled $12.2 billion, including $6.2 billion of basis swaps. Trade count totaled 67, including 29 basis swaps
  • SONIA traded notional totaled $586.7 billion, including $3.8 billion of basis swaps. Trade count totaled 766, including 24 basis swaps
  • SARON traded notional and trade count was $1.7 billion and 3, respectively
  • TONA traded notional and trade count was $5.0 billion and 20, respectively
  • There were no €STR trades

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count decreased by 30% and 39%, respectively
    • CDX HY traded notional and trade count decreased by 50% and 54%, respectively
    • CDX IG traded notional and trade count decreased by 28% and 36%, respectively
    • iTraxx Europe traded notional and trade count decreased by 12% and 26%, respectively
  • 75% of total traded notional was cleared vs. 77% last year
  • 72% 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 11% and 26%, respectively
    • CDX HY traded notional and trade count decreased by 36% and 42%, respectively
    • CDX IG traded notional and trade count decreased by 12% and 22%, respectively
    • iTraxx Europe traded notional increased by 9%, while trade count decreased by 12%
  • 75% of total traded notional was cleared vs. 81% last year
  • 71% of total traded notional was executed On SEF vs. 77% last year