Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 14% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 7% and 11%, respectively
    • FRAs traded notional and trade count increased by 18% and 20%, respectively
    • OIS traded notional and trade count increased by 28% and 30%, 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 35% and 37%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 0.4% and 40%, respectively
    • FRAs traded notional and trade count increased by 29% and 12%, respectively
    • OIS traded notional and trade count increased by 107% and 37%, respectively
  • 89% of total traded notional was cleared vs. 87% last year
  • 53% of total traded notional was executed On SEF vs. 57% last year

Interest Rate Derivatives: Benchmark Data

Week Ending September 6, 2019

  • SOFR traded notional totaled $14.2 billion, including $11.6 billion of basis swaps. Trade count totaled 60, including 28 basis swaps
  • SONIA traded notional totaled $245.4 billion, including $2.9 billion of basis swaps. Trade count totaled 329, including 24 basis swaps
  • SARON traded notional and trade count was $2.0 billion and 1, respectively
  • TONA traded notional and trade count was $3.7 billion and 14, respectively

YTD Ending September 6, 2019

  • SOFR traded notional totaled $191.9 billion, including $58.6 billion of basis swaps. Trade count totaled 614, including 195 basis swaps
  • SONIA traded notional totaled $5.1 trillion, including $103.6 billion of basis swaps. Trade count totaled 8,428, including 806 basis swaps
  • SARON traded notional and trade count was $10.2 billion and 40, respectively
  • TONA traded notional totaled $106.2 billion, including $1.0 billion of basis swaps. Trade count totaled 304, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 4%, while trade count increased by 0.7%
    • CDX HY traded notional and trade count increased by 4% and 12%, respectively
    • CDX IG traded notional and trade count increased by 10% and 14%, respectively
    • iTraxx Europe traded notional and trade count decreased by 15% and 3%, respectively
  • 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 2% and 5%, respectively
    • CDX HY traded notional and trade count increased by 20% and 18%, respectively
    • CDX IG traded notional and trade count increased by 6% and 9%, respectively
    • iTraxx Europe traded notional decreased by 4%, while trade count increased by 1%
  • 75% of total traded notional was cleared vs. 82% last year
  • 72% of total traded notional was executed On SEF vs. 78% last year