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
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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