Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 12% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 11%, respectively
    • FRAs traded notional and trade count increased by 16% and 20%, respectively
    • OIS traded notional and trade count increased by 29% and 30%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF, flat compared with last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count decreased by 43% and 24%, respectively
    • Fixed-for-floating IRS traded notional decreased by 44% and 23%, respectively
    • FRAs traded notional and trade count decreased by 59% and 44%, respectively
    • OIS traded notional and trade count decreased by 17% and 29%, respectively
  • 86% of total traded notional was cleared vs. 88% last year
  • 42% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data

Week Ending October 25, 2019

  • SOFR traded notional totaled $20.1 billion, including $5.7 billion of basis swaps. Trade count totaled 27, including 13 basis swaps
  • SONIA traded notional totaled $168.9 billion, including $800 million of basis swaps. Trade count totaled 193, including 8 basis swaps
  • SARON traded notional and trade count was $4.0 billion and 2, respectively
  • TONA traded notional and trade count was $10.8 billion and 24, respectively
  • There were no €STR trades

YTD Ending October 25, 2019

  • SOFR traded notional totaled $262.2 billion, including $95.1 billion of basis swaps. Trade count totaled 919, including 311 basis swaps
  • SONIA traded notional totaled $6.3 trillion, including $119.4 billion of basis swaps. Trade count totaled 10,280, including 966 basis swaps
  • SARON traded notional and trade count was $21.6 billion and 53, respectively
  • TONA traded notional totaled $177.9 billion, including $1.0 billion of basis swaps. Trade count totaled 409, including 1 basis swap
  • €STR traded notional and trade count was $100 million and 1, respectively

Click Here to View Historical Benchmark Data

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 5% 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 7% and 11%, respectively
    • iTraxx Europe traded notional and trade count decreased by 13% 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 66% and 64%, respectively
    • CDX HY traded notional and trade count decreased by 73% and 72%, respectively
    • CDX IG traded notional and trade count decreased by 68% and 64%, respectively
    • iTraxx Europe traded notional and trade count decreased by 64% and 58%, respectively
  • 76% of total traded notional was cleared vs. 84% last year
  • 72% of total traded notional was executed On SEF vs. 81% last year