Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 8% and 21%, respectively
- Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 17%
- FRAs traded notional and trade count increased by 8% and 27%, respectively
- OIS traded notional and trade count increased by 36% and 58%, 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 and trade count decreased by 32% and 0.3%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 32% and 9%, respectively
- FRAs traded notional decreased by 1%, while trade count increased by 67%
- OIS traded notional and trade count decreased by 64% and 27%, respectively
- 90% of total traded notional was cleared vs. 88% last year
- 67% of total traded notional executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending June 5, 2020
- SOFR traded notional totaled $12.1 billion, including $6.0 billion of basis swaps. Trade count totaled 35, including 3 basis swaps
- SONIA traded notional totaled $138.9 billion, including $1.9 billion of basis swaps. Trade count totaled 335, including 17 basis swaps
- SARON traded notional and trade count was $1.1 billion and 2, respectively
- TONA traded notional and trade count was $2.8 billion and 20, respectively
- There were no €STR trades
YTD Ending June 5, 2020
- SOFR traded notional totaled $453.3 billion, including $216.5 billion of basis swaps. Trade count totaled 1,959, including 549 basis swaps
- SONIA traded notional totaled $9.7 trillion, including $101.2 billion of basis swaps. Trade count totaled 12,150, including 772 basis swaps
- SARON traded notional and trade count was $12.2 billion and 30, respectively
- TONA traded notional totaled $151.7 billion, including $30 million of basis swaps. Trade count totaled 378, including 1 basis swap
- €STR traded notional and trade count was $9.2 billion and 57, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 43% and 40%, respectively
- CDX HY traded notional and trade count increased by 47% and 40%, respectively
- CDX IG traded notional and trade count increased by 59% and 58%, respectively
- iTraxx Europe traded notional and trade count increased by 49% and 38%, 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 decreased by 2% and 3%, respectively
- CDX HY traded notional increased by 10%, while trade count decreased by 8%
- CDX IG traded notional decreased by 1%, while trade count increased by 12%
- iTraxx Europe traded notional and trade count decreased by 21% and 27%, respectively
- 84% of total traded notional was cleared, flat compared with last year
- 81% of total traded notional was executed On SEF vs. 80% last year