Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 13%, respectively
    • Fixed-for-floating IRS traded notional decreased by 0.4%, while trade count increased by 10%
    • FRAs traded notional and trade count increased by 13% and 19%, respectively
    • OIS traded notional and trade count increased by 23% and 28%, 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 18%, while trade count increased by 1%
    • Fixed-for-floating IRS traded notional and trade count decreased by 31% and 2%, respectively
    • FRAs traded notional decreased by 7%, while trade count increased by 6%
    • OIS traded notional decreased by 8%, while trade count increased by 18%
  • 87% of total traded notional was cleared vs. 90% last year
  • 47% of total traded notional was executed On SEF vs. 49% last year

Interest Rate Derivatives: Benchmark Data

Week Ending December 13, 2019

  • SOFR traded notional totaled $26.2 billion, including $23.3 billion of basis swaps. Trade count totaled 38, including 16 basis swaps
  • SONIA traded notional totaled $334.2 billion, including $2.3 billion of basis swaps. Trade count totaled 333, including 18 basis swaps
  • SARON traded notional and trade count was $600 million and 1, respectively
  • TONA traded notional and trade count was $14.8 billion and 15, respectively
  • There were no €STR trades

YTD Ending December 13, 2019

  • SOFR traded notional totaled $373.3 billion, including $181.7 billion of basis swaps. Trade count totaled 1,192 including 416 basis swaps
  • SONIA traded notional totaled $7.6 trillion, including $142.5 billion of basis swaps. Trade count totaled 12,259, including 1,130 basis swaps
  • SARON traded notional and trade count was $24.5 billion and 64, respectively
  • TONA traded notional totaled $237.9 billion, including $1.0 billion of basis swaps. Trade count totaled 494, including 1 basis swap
  • €STR traded notional and trade count was $200 million and 6, 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 11% and 7%, respectively
    • CDX HY traded notional and trade count decreased by 9% and 2%, respectively
    • CDX IG traded notional decreased by 1%, while trade count increased by 3%
    • iTraxx Europe traded notional and trade count decreased by 15% and 7%, respectively
  • 80% 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 29% and 31%, respectively
    • CDX HY traded notional and trade count both decreased by 39%
    • CDX IG traded notional and trade count decreased by 27% and 26%, respectively
    • iTraxx Europe traded notional and trade count decreased by 6% and 19%, respectively
  • 76% of total traded notional was cleared vs. 78% last year
  • 72% of total traded notional was executed On SEF vs.75% last year