Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 17% and 26%, respectively
- Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 23%
- FRAs traded notional and trade count increased by 13% and 29%, respectively
- OIS traded notional and trade count increased by 60% and 72%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 56% of total traded notional was executed On SEF vs. 60% last year
2020 Current Week vs. 2019 Current Week
- Total IRD traded notional and trade count increased by 3% and 26%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 6% and 19%, respectively
- FRAs traded notional and trade count increased by 36% and 82%, respectively
- OIS traded notional decreased by 33%, while trade count increased by 19%
- 91% of total traded notional was cleared vs. 87% last year
- 65% of total traded notional executed On SEF vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 8, 2020
- SOFR traded notional totaled $17.2 billion, including $7.9 billion of basis swaps. Trade count totaled 61, including 16 basis swaps
- SONIA traded notional totaled $172.2 billion, including $1.0 billion of basis swaps. Trade count totaled 408, including 10 basis swaps
- SARON traded notional and trade count was $1.0 billion and 2, respectively
- TONA traded notional and trade count was $2.8 billion and 3, respectively
- €STR traded notional and trade count was $0.1 billion and 2, respectively
YTD Ending May 8, 2020
- SOFR traded notional totaled $363.4 billion, including $181.9 billion of basis swaps. Trade count totaled 1,736, including 510 basis swaps
- SONIA traded notional totaled $8.9 trillion, including $88.7 billion of basis swaps. Trade count totaled 10,527, including 666 basis swaps
- SARON traded notional and trade count was $9.4 billion and 24, respectively
- TONA traded notional totaled $140.5 billion, including $30 million of basis swaps. Trade count totaled 329, including 1 basis swap
- €STR traded notional and trade count was $8.5 billion and 52, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 57% and 52%, respectively
- CDX HY traded notional and trade count increased by 63% and 56%, respectively
- CDX IG traded notional and trade count increased by 73% and 70%, respectively
- iTraxx Europe traded notional and trade count increased by 72% and 60%, 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 decreased by 46% and 44%, respectively
- CDX HY traded notional and trade count decreased by 45% and 49%, respectively
- CDX IG traded notional and trade count decreased by 44% and 32%, respectively
- iTraxx Europe traded notional and trade count decreased by 49% and 41%, respectively
- 79% of total traded notional was cleared vs. 83% last year
- 77% of total traded notional was executed On SEF vs. 81% last year