Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 20% and 23%, respectively
    • Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 23%
    • FRAs traded notional and trade count increased by 6% and 9%, respectively
    • OIS traded notional and trade count increased by 95% and 83%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 53% of total traded notional was executed On SEF vs. 60% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count increased by 3% and 29%, respectively
    • Fixed-for-floating IRS traded notional decreased by 17%, while trade count increased by 18%
    • FRAs traded notional and trade count increased by 62% and 81%, respectively
    • OIS traded notional decreased by 46%, while trade count increased by 16%
  • 92% of total traded notional was cleared vs. 89% last year
  • 71% of total traded notional executed On SEF vs. 58% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 3, 2020

  • SOFR traded notional totaled $15.8 billion, including $6.3 billion of basis swaps. Trade count totaled 101, including 17 basis swaps
  • SONIA traded notional totaled $136.8 billion, including $3.7 billion of basis swaps. Trade count totaled 464, including 43 basis swaps
  • SARON traded notional and trade count was $0.1 billion and 1, respectively
  • TONA traded notional and trade count was $7.4 billion and 18, respectively
  • €STR traded notional and trade count was $0.6 billion and 8, respectively

YTD Ending April 3, 2020

  • SOFR traded notional totaled $292.1 billion, including $137.5 billion of basis swaps. Trade count totaled 1,429, including 408 basis swaps
  • SONIA traded notional totaled $8.1 trillion, including $79.3 billion of basis swaps. Trade count totaled 8,637, including 554 basis swaps
  • SARON traded notional and trade count was $7.6 billion and 18, respectively
  • TONA traded notional totaled $115.8 billion, including $30 million of basis swaps. Trade count totaled 266, including 1 basis swap
  • €STR traded notional and trade count was $4.9 billion and 41, 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 64% and 58%, respectively
    • CDX HY traded notional and trade count increased by 71% and 64%, respectively
    • CDX IG traded notional and trade count increased by 81% and 74%, respectively
    • iTraxx Europe traded notional and trade count increased by 83% and 66%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 80% 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 71% and 76%, respectively
    • CDX HY traded notional and trade count increased by 102% and 87%, respectively
    • CDX IG traded notional and trade count increased by 134% and 129%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 62%, respectively
  • 87% of total traded notional was cleared vs. 79% last year
  • 83% of total traded notional executed On SEF vs. 75% last year