Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional decreased by 2%, while trade count increased by 14%
- Fixed-for-floating IRS traded notional decreased by 14%, while trade count increased by 9%
- FRAs traded notional and trade count increased by 3% and 26%, respectively
- OIS traded notional and trade count increased by 8% and 37%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 59% of total traded notional was executed On SEF vs. 58% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count decreased by 28% and 15%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 37% and 25%, respectively
- FRAs traded notional and trade count increased by 17% and 43%, respectively
- OIS traded notional and trade count decreased by 57% and 18%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 65% of total traded notional executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 31, 2020
- SOFR traded notional totaled $18.9 billion, including $10.7 billion of basis swaps. Trade count totaled 84, including 33 basis swaps
- SONIA traded notional totaled $184.7 billion, including $5.2 billion of basis swaps. Trade count totaled 293, including 19 basis swaps
- SARON traded notional and trade count was $20 million and 1, respectively
- TONA traded notional and trade count was $1.7 billion and 6, respectively
- €STR traded notional and trade count was $5.2 billion and 20, respectively
YTD Ending July 31, 2020
- SOFR traded notional totaled $546.2 billion, including $260.6 billion of basis swaps. Trade count totaled 2,626, including 778 basis swaps
- SONIA traded notional totaled $11.1 trillion, including $164.8 billion of basis swaps. Trade count totaled 15,146, including 1,005 basis swaps
- SARON traded notional and trade count was $26.3 billion and 59, respectively
- TONA traded notional totaled $176.9 billion, including $50 million of basis swaps. Trade count totaled 440, including 2 basis swaps
- €STR traded notional and trade count was $24.6 billion and 105, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count both increased by 31%
- CDX HY traded notional and trade count increased by 37% and 32%, respectively
- CDX IG traded notional and trade count increased by 46% and 49%, respectively
- iTraxx Europe traded notional and trade count increased by 30% and 21%, 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 decreased by 49% and 29%, respectively
- CDX HY traded notional and trade count decreased by 33% and 36%, respectively
- CDX IG traded notional and trade count decreased by 49% and 31%, respectively
- iTraxx Europe traded notional and trade count decreased by 69% and 58%, respectively
- 81% of total traded notional was cleared vs. 80% last year
- 77% of total traded notional was executed On SEF, flat compared with last year