Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 13% and 10%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 5% and 7%, respectively
    • FRAs traded notional and trade count increased by 19% and 20%, respectively
    • OIS traded notional and trade count both increased by 25%
  • 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 19% and 42%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 44% and 67%, respectively
    • FRAs traded notional and trade count decreased by 42% and 45%, respectively
    • OIS traded notional and trade count increased by 143% and 127%, respectively
  • 89% of total traded notional was cleared vs. 90% last year
  • 53% of total traded notional was executed On SEF vs. 62% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending August 9, 2019

  • SOFR traded notional totaled $9.2 billion, including $5.3 billion of basis swaps. Trade count totaled 65, including 18 basis swaps
  • SONIA traded notional totaled $200.7 billion, including $2.9 billion of basis swaps. Trade count totaled 278, including 29 basis swaps
  • SARON traded notional and trade count was $0.7 billion and 6, respectively
  • TONA traded notional and trade count was $4.4 billion and 13, respectively

YTD Ending August 9, 2019

  • SOFR traded notional totaled $162.4 billion, including $37.9 billion of basis swaps. Trade count totaled 422, including 131 basis swaps
  • SONIA traded notional totaled $4.5 trillion, including $93.7 billion of basis swaps. Trade count totaled 7,126, including 728 basis swaps
  • SARON traded notional and trade count was $6.9 billion and 33, respectively
  • TONA traded notional totaled $87.5 billion, including $1.0 billion of basis swaps. Trade count totaled 259, 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 8% and 2%, respectively
    • CDX HY traded notional decreased by 1%, while trade count increased by 7%
    • CDX IG traded notional and trade count increased by 3% and 8%, respectively
    • iTraxx Europe traded notional decreased by 10%, while trade count increased by 19%
  • 80% 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 105% and 89%, respectively
    • CDX HY traded notional and trade count increased by 169% and 147%, respectively
    • CDX IG traded notional and trade count increased by 158% and 130%, respectively
    • iTraxx Europe  traded notional and trade count increased by 115% and 86%, respectively
  • 84% of total traded notional was cleared vs. 81% last year
  • 82% of total traded notional was executed On SEF vs. 77% last year