Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 18% and 26%, respectively
- Fixed-for-floating IRS traded notional decreased by 5%, while trade count increased by 24%
- FRAs traded notional and trade count increased by 11% and 23%, respectively
- OIS traded notional and trade count increased by 74% and 78%, 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 21% and 59%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 13% and 32%, respectively
- FRAs traded notional and trade count increased by 64% and 203%, respectively
- OIS traded notional decreased by 32%, while trade count increased by 66%
- 93% of total traded notional was cleared vs. 89% last year
- 69% of total traded notional executed On SEF vs. 60% last year
Interest Rate Derivatives: Benchmark Data
Week Ending April 24, 2020
- SOFR traded notional totaled $15.7 billion, including $8.3 billion of basis swaps. Trade count totaled 73, including 25 basis swaps
- SONIA traded notional totaled $122.3 billion, including $1.5 billion of basis swaps. Trade count totaled 341, including 21 basis swaps
- SARON traded notional and trade count was $10 million and 1, respectively
- TONA traded notional and trade count was $5.4 billion and 26, respectively
- €STR traded notional and trade count was $0.2 billion and 4, respectively
YTD Ending April 24, 2020
- SOFR traded notional totaled $337.2 billion, including $167.3 billion of basis swaps. Trade count totaled 1,628, including 482 basis swaps
- SONIA traded notional totaled $8.5 trillion, including $86.4 billion of basis swaps. Trade count totaled 9,760, including 639 basis swaps
- SARON traded notional and trade count was $8.3 billion and 22, respectively
- TONA traded notional totaled $130.3 billion, including $30 million of basis swaps. Trade count totaled 312, including 1 basis swap
- €STR traded notional and trade count was $5.2 billion and 47, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 66% and 61%, respectively
- CDX HY traded notional and trade count increased by 75% and 68%, respectively
- CDX IG traded notional and trade count increased by 85% and 81%, respectively
- iTraxx Europe traded notional and trade count increased by 83% and 68%, respectively
- 83% of total traded notional was cleared vs. 80% last year
- 80% 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 49% and 55%, respectively
- CDX HY traded notional and trade count increased by 26% and 46%, respectively
- CDX IG traded notional and trade count increased by 75% and 86%, respectively
- iTraxx Europe traded notional and trade count increased by 71% and 73%, respectively
- 82% of total traded notional was cleared vs. 78% last year
- 78% of total traded notional executed On SEF vs. 74% last year