Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 21% and 23%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 23%
    • FRAs traded notional and trade count increased by 2% and 3%, respectively
    • OIS traded notional and trade count increased by 109% and 88%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 52% of total traded notional was executed On SEF vs. 60% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 23%, while trade count increased by 14%
    • Fixed-for-floating IRS traded notional decreased by 34%, while trade count increased by 8%
    • FRAs traded notional and trade count increased by 27% and 61%, respectively
    • OIS traded notional decreased by 50%, while trade count increased by 14%
  • 92% of total traded notional was cleared vs. 88% last year
  • 70% of total traded notional executed On SEF vs. 51% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending March 27, 2020

  • SOFR traded notional totaled $16.2 billion, including $8.9 billion of basis swaps. Trade count totaled 103, including 25 basis swaps
  • SONIA traded notional totaled $114.2 billion, including $4.3 billion of basis swaps. Trade count totaled 539, including 49 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 3, respectively
  • TONA traded notional and trade count was $5.5 billion and 6, respectively
  • €STR traded notional and trade count was $0.8 billion and 6, respectively

YTD Ending March 27, 2020

  • SOFR traded notional totaled $276.3 billion, including $131.3 billion of basis swaps. Trade count totaled 1,328, including 391 basis swaps
  • SONIA traded notional totaled $7.9 trillion, including $75.6 billion of basis swaps. Trade count totaled 8,173, including 511 basis swaps
  • SARON traded notional and trade count was $7.5 billion and 17, respectively
  • TONA traded notional totaled $108.4 billion, including $30 million of basis swaps. Trade count totaled 248, including 1 basis swap
  • €STR traded notional and trade count was $4.3 billion and 33, 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 63% and 57%, respectively
    • CDX HY traded notional and trade count increased by 68% and 63%, respectively
    • CDX IG traded notional and trade count increased by 78% and 71%, respectively
    • iTraxx Europe traded notional and trade count increased by 86% and 66%, respectively
  • 83% of total traded notional was cleared vs. 81% 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 64% and 66%, respectively
    • CDX HY traded notional and trade count increased by 14% and 47%, respectively
    • CDX IG traded notional and trade count increased by 128% and 130%, respectively
    • iTraxx Europe traded notional and trade count increased by 84% and 89%, respectively
  • 87% of total traded notional was cleared vs. 86% last year
  • 85% of total traded notional executed On SEF vs. 82% last year