Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional decreased by 2%, while trade count increased by 15%
    • Fixed-for-floating IRS traded notional decreased by 13%, while trade count increased by 11%
    • FRAs traded notional and trade count increased by 2% and 25%, respectively
    • OIS traded notional and trade count increased by 11% and 39%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 59% of total traded notional was executed On SEF, flat compared with last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 34% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 23% and 7%, respectively
    • FRAs traded notional decreased by 14%, while trade count increased by 14%
    • OIS traded notional and trade count decreased by 64% and 37%, respectively
  • 93% of total traded notional was cleared vs. 91% last year
  • 74% of total traded notional executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data

Week Ending July 24, 2020

  • SOFR traded notional totaled $12.7 billion, including $4.2 billion of basis swaps. Trade count totaled 86, including 33 basis swaps
  • SONIA traded notional totaled $187.8 billion, including $4.9 billion of basis swaps. Trade count totaled 305, including 16 basis swaps
  • SARON traded notional and trade count was $1.4 billion and 4, respectively
  • TONA traded notional and trade count was $1.9 billion and 4, respectively
  • €STR traded notional and trade count was $50 million and 1, respectively

YTD Ending July 24, 2020

  • SOFR traded notional totaled $527.3 billion, including $249.8 billion of basis swaps. Trade count totaled 2,542, including 745 basis swaps
  • SONIA traded notional totaled $10.9 trillion, including $159.6 billion of basis swaps. Trade count totaled 14,853, including 986 basis swaps
  • SARON traded notional and trade count was $26.2 billion and 58, respectively
  • TONA traded notional totaled $175.3 billion, including $50 million of basis swaps. Trade count totaled 434, including 2 basis swaps
  • €STR traded notional and trade count was $19.4 billion and 85, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count increased by 35% and 33%, respectively
    • CDX HY traded notional and trade count increased by 40% and 34%, respectively
    • CDX IG traded notional and trade count increased by 50% and 52%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 24%, 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 25% and 10%, respectively
    • CDX HY traded notional decreased by 8%, while trade count increased by 5%
    • CDX IG traded notional and trade count decreased by 24% and 2%, respectively
    • iTraxx Europe traded notional and trade count decreased by 50% and 42%, respectively
  • 77% of total traded notional was cleared, flat compared with last year
  • 74% of total traded notional was executed On SEF vs. 75% last year