Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 11% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 12%, respectively
    • FRAs traded notional and trade count increased by 14% and 19%, respectively
    • OIS traded notional and trade count increased by 26% and 29%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional decreased by 21%, while trade count increased by 4%
    • Fixed-for-floating IRS traded notional decreased by 18%, while trade count increased by 2%
    • FRAs traded notional decreased by 21%, while trade count increased by 8%
    • OIS traded notional decreased by 24%, while trade count increased by 11%
  • 89% of total traded notional was cleared vs. 90% last year
  • 52% of total traded notional was executed On SEF vs. 49% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 15, 2019

  • SOFR traded notional totaled $15.1 billion, including $11.0 billion of basis swaps. Trade count totaled 36, including 15 basis swaps
  • SONIA traded notional totaled $169.5 billion, including $1.0 billion of basis swaps. Trade count totaled 201, including 13 basis swaps
  • SARON traded notional and trade count was $20 million and 1, respectively
  • TONA traded notional and trade count was $10.7 billion and 15, respectively

YTD Ending November 15, 2019

  • SOFR traded notional totaled $295.5 billion, including $119.3 billion of basis swaps. Trade count totaled 1,025, including 357 basis swaps
  • SONIA traded notional totaled $6.8 trillion, including $122.8 billion of basis swaps. Trade count totaled 10,970, including 1,004 basis swaps
  • SARON traded notional and trade count was $21.7 billion and 55, respectively
  • TONA traded notional totaled $212.9 billion, including $1.0 billion of basis swaps. Trade count totaled 457, 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 8% and 4%, respectively
    • CDX HY traded notional decreased by 5%, while trade count increased by 3%
    • CDX IG traded notional and trade count increased by 3% and 8%, respectively
    • iTraxx Europe traded notional and trade count decreased by 14% and 5%, 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 60% and 55%, respectively
    • CDX HY traded notional and trade count decreased by 68% and 62%, respectively
    • CDX IG traded notional and trade count decreased by 67% and 59%, respectively
    • iTraxx Europe traded notional and trade count decreased by 40% and 41%, respectively
  • 77% of total traded notional was cleared vs. 82% last year
  • 73% of total traded notional was executed On SEF vs. 78% last year