Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 13% and 12%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 7% and 10%, respectively
    • FRAs traded notional and trade count increased by 18% and 20%, respectively
    • OIS traded notional and trade count increased by 26% and 28%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 58% of total traded notional was executed On SEF vs. 57% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 30% and 59%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 61% and 75%, respectively
    • FRAs traded notional decreased by 2%, while trade count increased by 7%
    • OIS traded notional and trade count increased by 71% and 65%, respectively
  • 89% of total traded notional was cleared, flat compared with last year
  • 61% of total traded notional was executed On SEF vs. 64% last year

Interest Rate Derivatives: Benchmark Data

Week Ending August 23, 2019

  • SOFR traded notional totaled $5.7 billion, including $4.4 billion of basis swaps. Trade count totaled 41, including 17 basis swaps
  • SONIA traded notional totaled $130.4 billion, including $1.5 billion of basis swaps. Trade count totaled 386, including 24 basis swaps
  • SARON traded notional and trade count was $20 million and 2, respectively
  • TONA traded notional and trade count was $3.4 billion and 9, respectively

YTD Ending August 23, 2019

  • SOFR traded notional totaled $175.4 billion, including $45.4 billion of basis swaps. Trade count totaled 513, including 158 basis swaps
  • SONIA traded notional totaled $4.8 trillion, including $98.4 billion of basis swaps. Trade count totaled 7,801, including 770 basis swaps
  • SARON traded notional and trade count was $7.1 billion and 38, respectively
  • TONA traded notional totaled $94.6 billion, including $1.0 billion of basis swaps. Trade count totaled 277, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 5%, while trade count increased by 0.2%
    • CDX HY traded notional and trade count increased by 3% and 11%, respectively
    • CDX IG traded notional and trade count increased by 9% and 13%, respectively
    • iTraxx Europe traded notional decreased by 7%, while trade count increased by 21%
  • 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 increased by 108% and 77%, respectively
    • CDX HY traded notional and trade count increased by 120% and 111%, respectively
    • CDX IG traded notional and trade count increased by 171% and 156%, respectively
    • iTraxx Europe traded notional and trade count increased by 119% and 97%, respectively
  • 81% of total traded notional was cleared, flat compared with last year
  • 78% of total traded notional was executed on SEF, flat compared with last year