Check out the latest Transition to RFRs Review: Q3 of 2020 and Year-to-September 30, 2020 and SwapsInfo Q3 of 2020 and Year-to-September 30, 2020 Review.
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 16%, while trade count increased by 2%
- FRAs traded notional decreased by 6%, while trade count increased by 16%
- OIS traded notional decreased by 9%, while trade count increased by 25%
- 90% of total traded notional was cleared vs. 89% last year
- 60% of total traded notional was executed On SEF vs. 57% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count decreased by 32% and 15%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 17% and 9%, respectively
- FRAs traded notional and trade count decreased by 63% and 64%, respectively
- OIS traded notional decreased by 7%, while trade count increased by 40%
- 85% of total traded notional was cleared vs. 84% last year
- 60% of total traded notional executed On SEF vs. 56% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 6, 2020
- SOFR traded notional totaled $37.0 billion, including $18.8 billion of basis swaps. Trade count totaled 385, including 137 basis swaps
- SONIA traded notional totaled $258.3 billion, including $1.3 billion of basis swaps. Trade count totaled 632, including 11 basis swaps
- SARON traded notional and trade count was $0.6 billion and 1, respectively
- TONA traded notional and trade count was $4.8 billion and 12, respectively
- €STR traded notional and trade count was $3.6 billion and 24, respectively
YTD Ending November 6, 2020
- SOFR traded notional totaled $970.1 billion, including $461.9 billion of basis swaps. Trade count totaled 6,620, including 2,696 basis swaps
- SONIA traded notional totaled $15.4 trillion, including $240.8 billion of basis swaps. Trade count totaled 21,899, including 1,333 basis swaps
- SARON traded notional and trade count was $31.3 billion and 72, respectively
- TONA traded notional totaled $231.7 billion, including $1.1 billion of basis swaps. Trade count totaled 575, including 4 basis swaps
- €STR traded notional totaled $60.7 billion, including $40 million of basis swaps. Trade count totaled 325, including 1 basis swap
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 15% and 18%, respectively
- CDX HY traded notional and trade count increased by 22% and 18%, respectively
- CDX IG traded notional and trade count increased by 25% and 31%, respectively
- iTraxx Europe traded notional and trade count increased by 13% and 8%, 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 32% and 44%, respectively
- CDX HY traded notional and trade count increased by 49% and 46%, respectively
- CDX IG traded notional and trade count increased by 63% and 72%, respectively
- iTraxx Europe traded notional increased by 21% and 47%, respectively
- 83% of total traded notional was cleared vs. 75% last year
- 79% of total traded notional was executed On SEF vs. 71% last year