Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 14% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 7% and 11%, respectively
    • FRAs traded notional and trade count increased by 18% and 20%, respectively
    • OIS traded notional and trade count increased by 27% and 29%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 58% of total traded notional was executed On SEF vs. 57% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 26% and 34%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 12% and 33%, respectively
    • FRAs traded notional and trade count increased by 22% and 34%, respectively
    • OIS traded notional and trade count increased by 72% and 106%, respectively
  • 90% of total traded notional was cleared vs. 85% last year
  • 50% of total traded notional was executed On SEF vs. 52% last year

Interest Rate Derivatives: Benchmark Data

Week Ending August 30, 2019

  • SOFR traded notional totaled $2.3 billion, including $1.5 billion of basis swaps. Trade count totaled 41, including 9 basis swaps
  • SONIA traded notional totaled $107.6 billion, including $2.3 billion of basis swaps. Trade count totaled 299, including 13 basis swaps
  • SARON traded notional and trade count was $1.0 billion and 1, respectively
  • TONA traded notional and trade count was $8.0 billion and 13, respectively

YTD Ending August 30, 2019

  • SOFR traded notional totaled $177.7 billion, including $47.0 billion of basis swaps. Trade count totaled 554, including 167 basis swaps
  • SONIA traded notional totaled $4.9 trillion, including $100.7 billion of basis swaps. Trade count totaled 8,099, including 782 basis swaps
  • SARON traded notional and trade count was $8.1 billion and 39, respectively
  • TONA traded notional totaled $102.6 billion, including $1.0 billion of basis swaps. Trade count totaled 290, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 4%, while trade count increased by 1%
    • CDX HY traded notional and trade count increased by 4% and 12%, respectively
    • CDX IG traded notional and trade count increased by 10% and 14%, respectively
    • iTraxx Europe traded notional and trade count decreased by 15% and 3%, 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 increased by 55% and 36%, respectively
    • CDX HY traded notional and trade count increased by 66% and 65%, respectively
    • CDX IG traded notional and trade count increased by 109% and 95%, respectively
    • iTraxx Europe traded notional and trade count increased by 65% and 52%, respectively
  • 79% of total traded notional was cleared, flat compared with last year
  • 77% of total traded notional was executed On SEF vs. 75% last year