Interest Rate Derivatives
2020 YTD vs. 2019 YTD
- Total IRD traded notional and trade count increased by 18% and 25%, respectively
- Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 23%
- FRAs traded notional and trade count increased by 8% and 16%, respectively
- OIS traded notional and trade count increased by 80% and 78%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 55% 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 34% and 79%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 25% and 64%, respectively
- FRAs traded notional and trade count increased by 99% and 160%, respectively
- OIS traded notional decreased by 44%, while trade count increased by 74%
- 90% of total traded notional was cleared vs. 89% last year
- 69% of total traded notional executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending April 17, 2020
- SOFR traded notional totaled $15.5 billion, including $8.8 billion of basis swaps. Trade count totaled 62, including 24 basis swaps
- SONIA traded notional totaled $101.7 billion, including $5.0 billion of basis swaps. Trade count totaled 396, including 53 basis swaps
- SARON traded notional and trade count was $0.7 billion and 3, respectively
- TONA traded notional and trade count was $3.7 billion and 12, respectively
- There were no €STR trades
YTD Ending April 17, 2020
- SOFR traded notional totaled $321.6 billion, including $159.0 billion of basis swaps. Trade count totaled 1,554, including 457 basis swaps
- SONIA traded notional totaled $8.4 trillion, including $84.9 billion of basis swaps. Trade count totaled 9,419, including 618 basis swaps
- SARON traded notional and trade count was $8.3 billion and 21, respectively
- TONA traded notional totaled $124.9 billion, including $30 million of basis swaps. Trade count totaled 286, including 1 basis swap
- €STR traded notional and trade count was $5.0 billion and 43, respectively
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Credit Derivatives
2020 YTD vs. 2019 YTD
- Total credit derivatives traded notional and trade count increased by 67% and 62%, respectively
- CDX HY traded notional and trade count increased by 78% and 70%, 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 67%, 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 145% and 146%, respectively
- CDX HY traded notional and trade count increased by 193% and 168%, respectively
- CDX IG traded notional and trade count increased by 256% and 300%, respectively
- iTraxx Europe traded notional and trade count increased by 97% and 98%, respectively
- 78% of total traded notional was cleared vs. 73% last year
- 72% of total traded notional executed On SEF vs. 66% last year