Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 12% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 11%, respectively
    • FRAs traded notional and trade count increased by 16% and 19%, respectively
    • OIS traded notional and trade count increased by 28% and 29%, 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 decreased by 13%, while trade count increased by 8%
    • Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 13%
    • FRAs traded notional and trade count decreased by 17% and 6%, respectively
    • OIS traded notional decreased by 6%, while trade count increased by 5%
  • 89% of total traded notional was cleared vs. 90% last year
  • 52% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 1, 2019

  • SOFR traded notional totaled $13.3 billion, including $11.1 billion of basis swaps. Trade count totaled 40, including 20 basis swaps
  • SONIA traded notional totaled $151.9 billion, including $900 million of basis swaps. Trade count totaled 260, including 8 basis swaps
  • SARON traded notional and trade count was $100 million and 1, respectively
  • TONA traded notional and trade count was $18.8 billion and 23, respectively
  • There were no €STR trades

YTD Ending November 1, 2019

  • SOFR traded notional totaled $275.7 billion, including $106.2 billion of basis swaps. Trade count totaled 960, including 331 basis swaps
  • SONIA traded notional totaled $6.5 trillion, including $120.3 billion of basis swaps. Trade count totaled 10,541, including 974 basis swaps
  • SARON traded notional and trade count was $21.7 billion and 54, respectively
  • TONA traded notional totaled $196.7 billion, including $1.0 billion of basis swaps. Trade count totaled 432, 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 6% and 2%, respectively
    • CDX HY traded notional decreased by 2%, while trade count increased by 6%
    • CDX IG traded notional and trade count increased by 6% and 10%, respectively
    • iTraxx Europe traded notional and trade count decreased by 13% and 4%, 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 27% and 30%, respectively
    • CDX HY traded notional and trade count decreased by 42% and 37%, respectively
    • CDX IG traded notional and trade count decreased by 27% and 22%, respectively
    • iTraxx Europe traded notional and trade count decreased by 14% and 22%, respectively
  • 81% of total traded notional was cleared vs. 84% last year
  • 77% of total traded notional was executed On SEF vs. 80% last year