Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 6% and 20%, respectively
- Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 17%
- FRAs traded notional and trade count increased by 6% and 24%, respectively
- OIS traded notional and trade count increased by 32% and 55%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 57% 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 28%, while trade count increased by 5%
- Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 16%
- FRAs traded notional and trade count decreased by 39% and 24%, respectively
- OIS traded notional decreased by 41%, while trade count increased by 6%
- 90% of total traded notional was cleared, flat compared with last year
- 64% of total traded notional executed On SEF vs. 60% last year
Interest Rate Derivatives: Benchmark Data
Week Ending June 12, 2020
- SOFR traded notional totaled $12.2 billion, including $3.0 billion of basis swaps. Trade count totaled 83, including 11 basis swaps
- SONIA traded notional totaled $262.6 billion, including $3.3 billion of basis swaps. Trade count totaled 469, including 31 basis swaps
- SARON traded notional and trade count was $1.4 billion and 4, respectively
- TONA traded notional and trade count was $5.1 billion and 11, respectively
- €STR traded notional and trade count was $0.2 billion and 3, respectively
YTD Ending June 12, 2020
- SOFR traded notional totaled $447.5 billion, including $219.4 billion of basis swaps. Trade count totaled 2,042, including 560 basis swaps
- SONIA traded notional totaled $10 trillion, including $104.5 billion of basis swaps. Trade count totaled 12,614, including 803 basis swaps
- SARON traded notional and trade count was $13.7 billion and 34, respectively
- TONA traded notional totaled $156.8 billion, including $30 million of basis swaps. Trade count totaled 389, including 1 basis swap
- €STR traded notional and trade count was $9.4 billion and 60, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 43% and 39%, respectively
- CDX HY traded notional and trade count increased by 47% and 39%, respectively
- CDX IG traded notional and trade count increased by 57% and 58%, respectively
- iTraxx Europe traded notional and trade count increased by 49% and 37%, respectively
- 83% of total traded notional was cleared vs. 81% 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 26% and 35%, respectively
- CDX HY traded notional and trade count increased by 43% and 35%, respectively
- CDX IG traded notional and trade count increased by 28% and 46%, respectively
- iTraxx Europe traded notional and trade count increased by 35% and 21%, respectively
- 84% of total traded notional was cleared vs. 78% last year
- 81% of total traded notional was executed On SEF vs. 77% last year