Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 12% and 10%, respectively
- Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 5%
- FRAs traded notional and trade count increased by 7% and 10%, respectively
- OIS traded notional and trade count increased by 80% and 59%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 58% of total traded notional was executed On SEF vs. 62% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional decreased by 4%, while trade count increased by 8%
- Fixed-for-floating IRS traded notional decreased by 4%, while trade count increased by 12%
- FRAs traded notional and trade count decreased by 41% and 22%, respectively
- OIS traded notional and trade count increased by 110% and 103%, respectively
- 88% of total traded notional was cleared vs. 89% last year
- 48% of total traded notional executed On SEF vs. 67% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 14, 2020
- SOFR traded notional totaled $29.3 billion, including $12.7 billion of basis swaps. Trade count totaled 94, including 38 basis swaps
- SONIA traded notional totaled $358.4 billion, including $5.4 billion of basis swaps. Trade count totaled 484, including 44 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $2.3 billion and 7, respectively
- €STR traded notional and trade count was $0.1 billion and 2, respectively
YTD Ending February 14, 2020
- SOFR traded notional totaled $119.8 billion, including $70.2 billion of basis swaps. Trade count totaled 515, including 209 basis swaps
- SONIA traded notional totaled $4.5 trillion, including $34.4 billion of basis swaps. Trade count totaled 4,224, including 197 basis swaps
- SARON traded notional and trade count was $3.1 billion and 8, respectively
- TONA traded notional and trade count was $27.2 billion and 71, respectively
- €STR traded notional and trade count was $0.3 billion and 6, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count decreased by 4% and 9%, respectively
- CDX HY traded notional and trade count decreased by 5% and 6%, respectively
- CDX IG traded notional increased by 2%, while trade count decreased by 3%
- iTraxx Europe traded notional increased by 14%, while trade count decreased by 5%
- 81% of total traded notional was cleared vs. 80% last year
- 77% of total traded notional was executed On SEF vs.76% last year
2020 Current Week vs. 2019 Current Week
- Total credit derivatives traded notional and trade count decreased by 3% and 5%, respectively
- CDX HY traded notional and trade count increased by 11% and 16%, respectively
- CDX IG traded notional and trade count decreased by 14% and 11%, respectively
- iTraxx Europe traded notional and trade count increased by 44% and 4%, respectively
- 80% of total traded notional was cleared vs. 79% last year
- 77% of total traded notional executed On SEF, flat compared with last year