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 15% 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 2%, while trade count increased by 36%
    • Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 35%
    • FRAs traded notional decreased by 7%, while trade count increased by 22%
    • OIS traded notional decreased by 2%, while trade count increased by 26%
  • 85% of total traded notional was cleared vs. 89% last year
  • 55% of total traded notional was executed On SEF vs. 52% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 8, 2019

  • SOFR traded notional totaled $4.7 billion, including $2.1 billion of basis swaps. Trade count totaled 29, including 11 basis swaps
  • SONIA traded notional totaled $157.2 billion, including $1.5 billion of basis swaps. Trade count totaled 227, including 17 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $5.5 billion and 10, respectively
  • There were no €STR trades

YTD Ending November 8, 2019

  • SOFR traded notional totaled $280.5 billion, including $108.3 billion of basis swaps. Trade count totaled 989, including 342 basis swaps
  • SONIA traded notional totaled $6.6 trillion, including $121.8 billion of basis swaps. Trade count totaled 10,768, including 991 basis swaps
  • SARON traded notional and trade count was $21.7 billion and 54, respectively
  • TONA traded notional totaled $202.2 billion, including $1.0 billion of basis swaps. Trade count totaled 442, 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 3%, respectively
    • CDX HY traded notional decreased by 3%, while trade count increased by 5%
    • CDX IG traded notional and trade count increased by 5% 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 19% and 17%, respectively
    • CDX HY traded notional and trade count decreased by 35% and 25%, respectively
    • CDX IG traded notional and trade count decreased by 21% and 13%, respectively
    • iTraxx Europe traded notional and trade count decreased by 3% and 17%, respectively
  • 76% of total traded notional was cleared vs. 75% last year
  • 72% of total traded notional was executed On SEF vs. 71% last year