Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 10% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 4%, respectively
    • FRAs traded notional and trade count increased by 19% and 20%, respectively
    • OIS traded notional and trade count increased by 17% and 18%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 59% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 38% and 41%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 54% and 47%, respectively
    • FRAs traded notional and trade count increased by 21% and 2%, respectively
    • OIS traded notional and trade count increased by 45% and 57%, respectively
  • 87% of total traded notional was cleared, flat compared with last year
  • 53% of total traded notional was executed On SEF vs. 59% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending July 5, 2019

  • SOFR traded notional totaled $9.3 billion, including $0.1 billion of basis swaps. Trade count totaled 11, including 1 basis swap
  • SONIA traded notional totaled $353.4 billion, including $2.8 billion of basis swaps. Trade count totaled 300, including 27 basis swaps
  • SARON traded notional and trade count was $0.2 billion and 1, respectively
  • TONA traded notional and trade count was $1.6 billion and 10, respectively

YTD Ending July 5, 2019

  • SOFR traded notional totaled $116.6 billion, including $21.2 billion of basis swaps. Trade count totaled 268, including 77 basis swaps
  • SONIA traded notional totaled $3.8 trillion, including $78.0 billion of basis swaps. Trade count totaled 5,836, including 598 basis swaps
  • SARON traded notional and trade count was $4.1 billion and 20, respectively
  • TONA traded notional totaled $71.5 billion, including $1.0 billion of basis swaps. Trade count totaled 219, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 11% and 5%, respectively
    • CDX HY traded notional decreased by 7%, while trade count increased by 2%
    • CDX IG traded notional decreased by 2%, while trade count increased by 5%
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 19%
  • 81% of total traded notional was cleared vs. 84% last year
  • 77% of total traded notional was executed On SEF vs. 79% last year

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional and trade count increased by 6% and 3%, respectively
    • CDX HY traded notional and trade count increased by 63% and 35%, respectively
    • CDX IG traded notional and trade count increased by 21% and 19%, respectively
    • iTraxx Europe traded notional and trade count decreased by 17% and 11%, respectively
  • 79% of total traded notional was cleared vs. 87% last year
  • 75% of total traded notional was executed On SEF vs. 82% last year