Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 13% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 6% and 9%, respectively
    • FRAs traded notional and trade count increased by 19% and 20%, respectively
    • OIS traded notional and trade count increased by 25% and 27%, 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 18% and 57%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 44% and 61%, respectively
    • FRAs traded notional and trade count increased by 1% and 17%, respectively
    • OIS traded notional and trade count increased by 19% and 86%, respectively
  • 88% of total traded notional was cleared vs. 90% last year
  • 56% of total traded notional was executed On SEF vs. 61% last year

Interest Rate Derivatives: Benchmark Data

Week Ending August 16, 2019

  • SOFR traded notional totaled $7.4 billion, including $3.1 billion of basis swaps. Trade count totaled 50, including 10 basis swaps
  • SONIA traded notional totaled $110.7 billion, including $3.2 billion of basis swaps. Trade count totaled 285, including 19 basis swaps
  • SARON traded notional and trade count was $0.2 billion and 5, respectively
  • TONA traded notional and trade count was $3.7 billion and 9, respectively

YTD Ending August 16, 2019

  • SOFR traded notional totaled $169.7 billion, including $41.0 billion of basis swaps. Trade count totaled 472, including 141 basis swaps
  • SONIA traded notional totaled $4.7 trillion, including $96.9 billion of basis swaps. Trade count totaled 7,413, including 746 basis swaps
  • SARON traded notional and trade count was $7.1 billion and 36, respectively
  • TONA traded notional totaled $91.2 billion, including $1.0 billion of basis swaps. Trade count totaled 268, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 6% and 1%, respectively
    • CDX HY traded notional and trade count increased by 1% and 10%, respectively
    • CDX IG traded notional and trade count increased by 6% and 11%, respectively
    • iTraxx Europe traded notional decreased by 9%, while trade count increased by 19%
  • 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 40% and 35%, respectively
    • CDX HY traded notional and trade count increased by 120% and 108%, respectively
    • CDX IG traded notional and trade count increased by 128% and 111%, respectively
    • iTraxx Europe  traded notional and trade count increased by 19% and 12%, respectively
  • 86% of total traded notional was cleared vs. 80% last year
  • 84% of total traded notional was executed On SEF vs. 75% last year