Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 5% and 19%, respectively
    • Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 15%
    • FRAs traded notional and trade count increased by 7% and 27%, respectively
    • OIS traded notional and trade count increased by 26% and 51%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 58% of total traded notional was executed On SEF vs. 59% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional and trade count decreased by 19% and 1%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 23% and 14%, respectively
    • FRAs traded notional and trade count increased by 43% and 102%, respectively
    • OIS traded notional and trade count decreased by 70% and 29%, respectively
  • 89% of total traded notional was cleared, flat compared with last year
  • 69% of total traded notional executed On SEF vs. 50% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending June 19, 2020

  • SOFR traded notional totaled $19.5 billion, including $9.0 billion of basis swaps. Trade count totaled 106, including 35 basis swaps
  • SONIA traded notional totaled $196.8 billion, including $10.7 billion of basis swaps. Trade count totaled 363, including 41 basis swaps
  • SARON traded notional and trade count was $4.0 billion and 7, respectively
  • TONA traded notional and trade count was $9.0 billion and 14, respectively
  • €STR traded notional and trade count was $1.1 billion and 2, respectively

YTD Ending June 19, 2020

  • SOFR traded notional totaled $465.9 billion, including $227.4 billion of basis swaps. Trade count totaled 2,148, including 594 basis swaps
  • SONIA traded notional totaled $10 trillion, including $114.7 billion of basis swaps. Trade count totaled 12,984, including 845 basis swaps
  • SARON traded notional and trade count was $17.7 billion and 41, respectively
  • TONA traded notional totaled $165.8 billion, including $30 million of basis swaps. Trade count totaled 403, including 1 basis swap
  • €STR traded notional and trade count was $10.4 billion and 62, 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 41% and 37%, respectively
    • CDX HY traded notional and trade count increased by 44% and 38%, respectively
    • CDX IG traded notional and trade count increased by 56% and 57%, respectively
    • iTraxx Europe traded notional and trade count increased by 43% and 33%, respectively
  • 83% of total traded notional was cleared vs. 81% 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 decreased by 2%, while trade count increased by 2%
    • CDX HY traded notional decreased by 3%, while trade count increased by 10%
    • CDX IG traded notional and trade count increased by 37% and 39%, respectively
    • iTraxx Europe traded notional and trade count decreased by 30% and 27%, respectively
  • 86% of total traded notional was cleared vs. 77% last year
  • 81% of total traded notional was executed On SEF vs. 74% last year