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 10%, while trade count increased by 6%
- Fixed-for-floating IRS traded notional decreased by 16%, while trade count increased by 2%
- FRAs traded notional decreased by 5%, while trade count increased by 18%
- OIS traded notional decreased by 9%, while trade count increased by 24%
- 91% 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 12% and 4%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 16% and 13%, respectively
- FRAs traded notional and trade count increased by 9% and 17%, respectively
- OIS traded notional decreased by 33%, while trade count increased by 29%
- 90% of total traded notional was cleared vs. 89% last year
- 65% of total traded notional executed On SEF vs. 52% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 30, 2020
- SOFR traded notional totaled $37.2 billion, including $10.8 billion of basis swaps. Trade count totaled 440, including 176 basis swaps
- SONIA traded notional totaled $203.3 billion, including $2.5 billion of basis swaps. Trade count totaled 470, including 21 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $6.5 billion and 12, respectively
- €STR traded notional totaled $4.2 billion, including $40 million of basis swaps. Trade count totaled 37, including 1 basis swap.
YTD Ending October 30, 2020
- SOFR traded notional totaled $932.7 billion, including $443.1 billion of basis swaps. Trade count totaled 6,230, including 2,559 basis swaps
- SONIA traded notional totaled $15.1 trillion, including $239.5 billion of basis swaps. Trade count totaled 21,269, including 1,322 basis swaps
- SARON traded notional and trade count was $30.7 billion and 71, respectively
- TONA traded notional totaled $226.9 billion, including $1.1 billion of basis swaps. Trade count totaled 563, including 4 basis swaps
- €STR traded notional totaled $57.1 billion, including $40 million of basis swaps. Trade count totaled 301, 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 21% and 18%, respectively
- CDX IG traded notional and trade count increased by 24% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 13% and 7%, 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 38% and 45%, respectively
- CDX HY traded notional and trade count increased by 80% and 63%, respectively
- CDX IG traded notional and trade count increased by 34% and 44%, respectively
- iTraxx Europe traded notional increased by 64% and 54%, respectively
- 83% of total traded notional was cleared vs. 79% last year
- 79% of total traded notional was executed On SEF vs. 76% last year