Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 3% and 18%, respectively
    • Fixed-for-floating IRS traded notional decreased by 10%, while trade count increased by 14%
    • FRAs traded notional and trade count increased by 4% and 25%, respectively
    • OIS traded notional and trade count increased by 23% and 50%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 58% of total traded notional was executed On SEF vs. 59% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 40% and 12%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 27% and 14%, respectively
    • FRAs traded notional and trade count decreased by 43% and 12%, respectively
    • OIS traded notional decreased by 55%, while trade count increased by 3%
  • 90% of total traded notional was cleared vs. 89% last year
  • 67% of total traded notional executed On SEF vs. 63% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 26, 2020

  • SOFR traded notional totaled $15.6 billion, including $8.1 billion of basis swaps. Trade count totaled 88, including 27 basis swaps
  • SONIA traded notional totaled $88.9 billion, including $15.2 billion of basis swaps. Trade count totaled 484, including 30 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 2, respectively
  • TONA traded notional and trade count was $2.8 billion and 8, respectively
  • €STR traded notional and trade count was $2.4 billion and 6, respectively

YTD Ending June 26, 2020

  • SOFR traded notional totaled $481.6 billion, including $235.4 billion of basis swaps. Trade count totaled 2,236, including 621 basis swaps
  • SONIA traded notional totaled $10.2 trillion, including $129.9 billion of basis swaps. Trade count totaled 13,465, including 875 basis swaps
  • SARON traded notional and trade count was $20.0 billion and 43, respectively
  • TONA traded notional totaled $168.6 billion, including $30 million of basis swaps. Trade count totaled 411, including 1 basis swap
  • €STR traded notional and trade count was $12.8 billion and 68, 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 39% and 37%, respectively
    • CDX HY traded notional and trade count increased by 43% and 38%, respectively
    • CDX IG traded notional and trade count increased by 55% and 56%, respectively
    • iTraxx Europe traded notional and trade count increased by 42% and 31%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 79% 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 0.4% and 15%, respectively
    • CDX HY traded notional and trade count increased by 14% and 24%, respectively
    • CDX IG traded notional and trade count increased by 8% and 27%, respectively
    • iTraxx Europe traded notional increased by 11%, while trade count decreased by 7%
  • 86% of total traded notional was cleared vs. 77% last year
  • 81% of total traded notional was executed On SEF vs. 73% last year