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 12% and 26%, respectively
- OIS traded notional and trade count increased by 66% and 75%, 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 5% and 27%, respectively
- Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 13%
- FRAs traded notional and trade count increased by 57% and 93%, respectively
- OIS traded notional decreased by 35%, while trade count increased by 28%
- 92% of total traded notional was cleared vs. 88% last year
- 63% of total traded notional executed On SEF vs. 53% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 1, 2020
- SOFR traded notional totaled $8.9 billion, including $6.6 billion of basis swaps. Trade count totaled 47, including 12 basis swaps
- SONIA traded notional totaled $224.0 billion, including $1.3 billion of basis swaps. Trade count totaled 365, including 17 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $7.4 billion and 14, respectively
- €STR traded notional and trade count was $3.3 billion and 3, respectively
YTD Ending May 1, 2020
- SOFR traded notional totaled $346.2 billion, including $173.9 billion of basis swaps. Trade count totaled 1,675, including 494 basis swaps
- SONIA traded notional totaled $8.7 trillion, including $87.7 billion of basis swaps. Trade count totaled 10,125, including 656 basis swaps
- SARON traded notional and trade count was $8.3 billion and 22, respectively
- TONA traded notional totaled $137.7 billion, including $30 million of basis swaps. Trade count totaled 326, including 1 basis swap
- €STR traded notional and trade count was $8.5 billion and 50, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 64% and 60%, respectively
- CDX HY traded notional and trade count increased by 73% and 67%, respectively
- CDX IG traded notional and trade count increased by 82% and 78%, respectively
- iTraxx Europe traded notional and trade count increased by 82% and 67%, 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 16% and 27%, respectively
- CDX HY traded notional and trade count increased by 21% and 31%, respectively
- CDX IG traded notional and trade count increased by 9% and 22%, respectively
- iTraxx Europe traded notional and trade count increased by 38% and 50%, respectively
- 81% of total traded notional was cleared vs. 79% last year
- 76% of total traded notional executed On SEF, flat compared with last year