Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count decreased by 21% and 40%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 60% and 50%, respectively
    • FRAs traded notional and trade count increased by 73% and 36%, respectively
    • OIS traded notional and trade count decreased by 52% and 36%, respectively
  • 95% of total traded notional was cleared vs. 88% last year
  • 71% of total traded notional was executed On SEF vs. 47% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 11% and 22%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 45% and 29%, respectively
    • FRAs traded notional and trade count increased by 76% and 37%, respectively
    • OIS traded notional and trade count decreased by 42% and 17%, respectively
  • 92% of total traded notional was cleared vs. 89% last year
  • 66% of total traded notional was executed On SEF vs. 46% last year

Interest Rate Derivatives: Benchmark Data

Week Ending January 3, 2020

  • SOFR traded notional totaled $4.5 billion, including $2.0 billion of basis swaps. Trade count totaled 30, including 7 basis swaps
  • SONIA traded notional totaled $53.7 billion, including $1.0 billion of basis swaps. Trade count totaled 133, including 8 basis swaps
  • SARON traded notional and trade count was $1.0 billion and 2, respectively
  • TONA traded notional and trade count was $0.2 billion and 2, respectively
  • There were no €STR trades

YTD Ending January 3, 2020

  • SOFR traded notional totaled $3.9 billion, including $1.8 billion of basis swaps. Trade count totaled 16, including 5 basis swaps
  • SONIA traded notional totaled $34.9 billion, including $0.6 billion of basis swaps. Trade count totaled 110, including 4 basis swaps
  • SARON traded notional and trade count was $1.1 billion and 2, respectively
  • TONA traded notional and trade count was $0.2 billion and 2, 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 58% and 61%, respectively
    • CDX HY traded notional and trade count decreased by 70% and 71%, respectively
    • CDX IG traded notional and trade count decreased by 55% and 59%, respectively
    • iTraxx Europe traded notional and trade count both decreased by 53%
  • 77% of total traded notional was cleared vs. 80% last year
  • 74% 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 47% and 49%, respectively
    • CDX HY traded notional and trade count decreased by 59% and 58%, respectively
    • CDX IG traded notional and trade count decreased by 44% and 46%, respectively
    • iTraxx Europe traded notional and trade count decreased by 39% and 38%, respectively
  • 77% of total traded notional was cleared vs. 80% last year
  • 74% of total traded notional was executed On SEF vs.78% last year