Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 2% and 17%, respectively
- Fixed-for-floating IRS traded notional decreased by 11%, while trade count increased by 13%
- FRAs traded notional and trade count increased by 5% and 27%, respectively
- OIS traded notional and trade count increased by 20% and 47%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 58% of total traded notional was executed On SEF vs. 59% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional decreased by 21%, while trade count increased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 33% and 13%, respectively
- FRAs traded notional and trade count increased by 34% and 120%, respectively
- OIS traded notional traded notional and trade count decreased by 61% and 18%, respectively
- 89% of total traded notional was cleared vs. 87% last year
- 67% of total traded notional executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 3, 2020
- SOFR traded notional totaled $9.5 billion, including $2.1 billion of basis swaps. Trade count totaled 57, including 14 basis swaps
- SONIA traded notional totaled $133.2 billion, including $8.9 billion of basis swaps. Trade count totaled 309, including 32 basis swaps
- SARON traded notional and trade count was $2.9 billion and 5, respectively
- TONA traded notional was $0.1 billion, including $20 million of basis swaps. Trade count totaled 4, including 1 basis swap
- €STR traded notional and trade count was $0.5 billion and 4, respectively
YTD Ending July 3, 2020
- SOFR traded notional totaled $491.1 billion, including $237.5 billion of basis swaps. Trade count totaled 2,293, including 635 basis swaps
- SONIA traded notional totaled $10.3 trillion, including $138.8 billion of basis swaps. Trade count totaled 13,774, including 907 basis swaps
- SARON traded notional and trade count was $22.8 billion and 48, respectively
- TONA traded notional totaled $168.8 billion, including $50 million of basis swaps. Trade count totaled 415, including 2 basis swaps
- €STR traded notional and trade count was $13.3 billion and 72, 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 39% and 36%, respectively
- CDX HY traded notional and trade count increased by 43% and 37%, respectively
- CDX IG traded notional and trade count increased by 55% and 56%, respectively
- iTraxx Europe traded notional and trade count increased by 41% and 30%, 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 7% and 11%, respectively
- CDX HY traded notional and trade count increased by 27% and 18%, respectively
- CDX IG traded notional and trade count increased by 39% and 51%, respectively
- iTraxx Europe traded notional and trade count decreased by 9% and 8%, respectively
- 85% of total traded notional was cleared vs. 78% last year
- 82% of total traded notional was executed On SEF vs. 74% last year