DTCC SDR discontinued reporting execution venue data as of 11/22/2020. Also, there were reporting issues with clearing data for the week ending 11/27/2020. Therefore, SEF-execution and clearing metrics are not included in the below analysis.
Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional decreased by 11%, while trade count increased by 5%
- Fixed-for-floating IRS traded notional decreased by 15%, while trade count increased by 2%
- FRAs traded notional decreased by 7%, while trade count increased by 15%
- OIS traded notional decreased by 10%, while trade count increased by 25%
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count decreased by 27% and 10%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 5% and 7%, respectively
- FRAs traded notional and trade count decreased by 49% and 53%, respectively
- OIS traded notional decreased by 27%, while trade count increased by 7%
Interest Rate Derivatives: Benchmark Data
Week Ending November 27, 2020
- SOFR traded notional totaled $42.4 billion, including $18.1 billion of basis swaps. Trade count totaled 229, including 62 basis swaps
- SONIA traded notional totaled $111.8 billion, including $0.7 billion of basis swaps. Trade count totaled 425, including 8 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $3.1 billion and 7, respectively
- €STR traded notional and trade count was $0.5 billion and 9, respectively
YTD Ending November 27, 2020
- SOFR traded notional totaled $1.1 trillion, including $528.4 billion of basis swaps. Trade count totaled 7,645, including 3,113 basis swaps
- SONIA traded notional totaled $16.0 trillion, including $245.4 billion of basis swaps. Trade count totaled 23,576, including 1,377 basis swaps
- SARON traded notional and trade count was $31.9 billion and 74, respectively
- TONA traded notional totaled $240.4 billion, including $3.1 billion of basis swaps. Trade count totaled 601, including 6 basis swaps
- €STR traded notional totaled $69.6 billion, including $0.1 billion of basis swaps. Trade count totaled 390, including 3 basis swaps
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 15% and 19%, respectively
- CDX HY traded notional and trade count increased by 22% and 19%, respectively
- CDX IG traded notional and trade count increased by 25% and 32%, respectively
- iTraxx Europe traded notional and trade count increased by 14% and 9%, respectively
2020 Current Week vs. 2019 Current Week
- Total credit derivatives traded notional decreased by 2%, while trade count increased by 15%
- CDX HY traded notional and trade count increased by 9% and 30%, respectively
- CDX IG traded notional decreased by 2%, while trade count increased by 20%
- iTraxx Europe traded notional and trade count increased by 0.4% and 4%, respectively