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
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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