Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 10% and 22%, respectively
- Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 19%
- FRAs traded notional and trade count increased by 8% and 26%, respectively
- OIS traded notional and trade count increased by 44% and 64%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 57% 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 22% and 7%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 30% and 16%, respectively
- FRAs traded notional decreased by 11%, while trade count increased by 34%
- OIS traded notional decreased by 20%, while trade count increased by 14%
- 91% of total traded notional was cleared vs. 88% last year
- 64% of total traded notional executed On SEF vs. 52% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 29, 2020
- SOFR traded notional totaled $16.0 billion, including $6.1 billion of basis swaps. Trade count totaled 65, including 7 basis swaps
- SONIA traded notional totaled $173.7 billion, including $3.3 billion of basis swaps. Trade count totaled 269, including 30 basis swaps
- SARON traded notional and trade count was $0.6 billion and 1, respectively
- TONA traded notional and trade count was $4.9 billion and 12, respectively
- €STR traded notional and trade count was $30 million and 1, respectively
YTD Ending May 29, 2020
- SOFR traded notional totaled $423.0 billion, including $210.3 billion of basis swaps. Trade count totaled 1,922, including 545 basis swaps
- SONIA traded notional totaled $9.6 trillion, including $99.3 billion of basis swaps. Trade count totaled 11,815, including 755 basis swaps
- SARON traded notional and trade count was $11.1 billion and 28, respectively
- TONA traded notional totaled $149.0 billion, including $30 million of basis swaps. Trade count totaled 358, including 1 basis swap
- €STR traded notional and trade count was $9.2 billion and 57, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 46% and 42%, respectively
- CDX HY traded notional and trade count increased by 49% and 43%, respectively
- CDX IG traded notional and trade count increased by 62% and 61%, respectively
- iTraxx Europe traded notional and trade count increased by 54% and 43%, respectively
- 83% of total traded notional was cleared vs. 81% last year
- 79% of total traded notional was executed On SEF vs.77% last year
- Total credit derivatives traded notional and trade count decreased by 20% and 16%, respectively
- CDX HY traded notional and trade count decreased by 32% and 27%, respectively
- CDX IG traded notional and trade count decreased by 15% and 0.3%, respectively
- iTraxx Europe traded notional and trade count decreased by 21% and 22%, respectively
- 82% of total traded notional was cleared vs. 83% last year
- 78% of total traded notional was executed On SEF, flat compared with last year