Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional decreased by 0.3%, while trade count increased by 15%
- Fixed-for-floating IRS traded notional decreased by 12%, while trade count increased by 11%
- FRAs traded notional and trade count increased by 3% and 26%, respectively
- OIS traded notional and trade count increased by 14% and 42%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 59% of total traded notional was executed On SEF, flat compared with last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count decreased by 42% and 12%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 36% and 13%, respectively
- FRAs traded notional and trade count decreased by 33% and 5%, respectively
- OIS traded notional and trade count decreased by 63% and 35%, respectively
- 88% of total traded notional was cleared vs. 90% last year
- 63% of total traded notional executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 17, 2020
- SOFR traded notional totaled $11.6 billion, including $4.6 billion of basis swaps. Trade count totaled 94, including 51 basis swaps
- SONIA traded notional totaled $288.4 billion, including $13.3 billion of basis swaps. Trade count totaled 425, including 40 basis swaps
- SARON traded notional and trade count was $1.6 billion and 4, respectively
- TONA traded notional and trade count was $3.5 billion and 10, respectively
- €STR traded notional and trade count was $5.8 billion and 9, respectively
YTD Ending July 17, 2020
- SOFR traded notional totaled $514.6 billion, including $245.6 billion of basis swaps. Trade count totaled 2,456, including 712 basis swaps
- SONIA traded notional totaled $10.7 trillion, including $154.8 billion of basis swaps. Trade count totaled 14,548, including 970 basis swaps
- SARON traded notional and trade count was $24.9 billion and 54, respectively
- TONA traded notional totaled $173.3 billion, including $50 million of basis swaps. Trade count totaled 430, including 2 basis swaps
- €STR traded notional and trade count was $19.4 billion and 84, respectively
Click Here to View Historical Benchmark Data
Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 36% and 34%, respectively
- CDX HY traded notional and trade count increased by 41% and 35%, respectively
- CDX IG traded notional and trade count increased by 52% and 54%, respectively
- iTraxx Europe traded notional and trade count increased by 38% and 27%, 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 decreased by 3%, while trade count increased by 5%
- CDX HY traded notional decreased by 3%, while trade count increased by 6%
- CDX IG traded notional and trade count increased by 2% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 13% and 24%, respectively
- 78% of total traded notional was cleared vs. 77% last year
- 74% of total traded notional was executed On SEF, flat compared with last year