Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 9% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 2% and 11%, respectively
    • FRAs traded notional and trade count increased by 13% and 18%, respectively
    • OIS traded notional and trade count increased by 25% 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 and trade count decreased by 37% and 21%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 44% and 22%, respectively
    • FRAs traded notional traded notional and trade count decreased by 34% and 15%, respectively
    • OIS traded notional traded notional and trade count decreased by 27% and 6%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 56% of total traded notional was executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 29, 2019

  • SOFR traded notional totaled $10.6 billion, including $9.3 billion of basis swaps. Trade count totaled 31, including 12 basis swaps
  • SONIA traded notional totaled $161.3 billion, including $5.3 billion of basis swaps. Trade count totaled 293, including 27 basis swaps
  • SARON traded notional and trade count was $600 million and 1, respectively
  • TONA traded notional and trade count was $1 billion and 4, respectively
  • €STR traded notional and trade count was $40 million and 2, respectively

YTD Ending November 29, 2019

  • SOFR traded notional totaled $328.2 billion, including $142.2 billion of basis swaps. Trade count totaled 1,110, including 388 basis swaps
  • SONIA traded notional totaled $7.1 trillion, including $136.5 billion of basis swaps. Trade count totaled 11,621, including 1,081 basis swaps
  • SARON traded notional and trade count was $22.3 billion and 56, respectively
  • TONA traded notional totaled $216.8 billion, including $1.0 billion of basis swaps. Trade count totaled 464, including 1 basis swap
  • €STR traded notional and trade count was $200 million and 3, 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 9% and 6%, respectively
    • CDX HY traded notional and trade count decreased by 7% and 0.05%, respectively
    • CDX IG traded notional and trade count increased by 0.4% and 5%, respectively
    • iTraxx Europe traded notional and trade count decreased by 15% and 6%, 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 63% and 61%, respectively
    • CDX HY traded notional and trade count decreased by 64% and 66%, respectively
    • CDX IG traded notional and trade count decreased by 61% and 62%, respectively
    • iTraxx Europe traded notional and trade count decreased by 62% and 49%, respectively
  • 78% of total traded notional was cleared vs. 80% last year
  • 75% of total traded notional was executed On SEF vs.78% last year