Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 10% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 2% and 3%, respectively
    • FRAs traded notional and trade count increased by 19% and 20%, respectively
    • OIS traded notional and trade count increased by 16% and 17%, 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 35% and 28%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 8% and 16%, respectively
    • FRAs traded notional and trade count increased by 81% and 104%, respectively
    • OIS traded notional and trade count increased by 58% and 18%, respectively
  • 89% of total traded notional was cleared vs. 85% last year
  • 63% of total traded notional was executed On SEF vs. 57% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending June 28, 2019

  • SOFR traded notional totaled $11.8 billion, including $9.2 billion of basis swaps. Trade count totaled 16, including 9 basis swaps
  • SONIA traded notional totaled $116.0 billion, including $0.8 billion of basis swaps. Trade count totaled 198, including 14 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $4.8 billion and 6, respectively

YTD Ending June 28, 2019

  • SOFR traded notional totaled $107.3 billion, including $21.1 billion of basis swaps. Trade count totaled 257, including 76 basis swaps
  • SONIA traded notional totaled $3.4 trillion, including $75.2 billion of basis swaps. Trade count totaled 5,533, including 571 basis swaps
  • SARON traded notional and trade count was $3.9 billion and 19, respectively
  • TONA traded notional totaled $69.9 billion, including $1.0 billion of basis swaps. Trade count totaled 209, including 1 basis swap

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 12% and 5%, respectively
    • CDX HY traded notional decreased by 9%, while trade count increased by 1%
    • CDX IG traded notional decreased by 2%, while trade count increased by 4%
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 20%
  • 81% of total traded notional was cleared vs. 83% 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 decreased by 31% and 33%, respectively
    • CDX HY traded notional and trade count decreased by 32% and 31%, respectively
    • CDX IG traded notional and trade count decreased by 23% and 22%, respectively
    • iTraxx Europe traded notional and trade count decreased by 41% and 23%, respectively
  • 77% of total traded notional was cleared vs. 85% last year
  • 73% of total traded notional was executed On SEF vs. 83% last year