Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 12% and 9%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 5%, respectively
    • FRAs traded notional and trade count both increased by 23%
    • OIS traded notional and trade count both increased by 21%
  • 89% of total traded notional was cleared vs. 88% last year
  • 59% 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 49% and 17%, respectively
    • Fixed-for-floating IRS traded notional decreased by 0.2%, while trade count increased by 3%
    • FRAs traded notional and trade count increased by 83% and 78%, respectively
    • OIS traded notional and trade count increased by 100% and 78%, respectively
  • 91% of total traded notional was cleared vs. 86% last year
  • 58% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending July 26, 2019

  • SOFR traded notional totaled $5.5 billion, including $3.9 billion of basis swaps. Trade count totaled 24, including 13 basis swap
  • SONIA traded notional totaled $112.4 billion, including $4.3 billion of basis swaps. Trade count totaled 198, including 31 basis swaps
  • SARON traded notional and trade count was $2.0 billion and 3, respectively
  • TONA traded notional and trade count was $1.9 billion and 6, respectively

YTD Ending July 26, 2019

  • SOFR traded notional totaled $148.4 billion, including $29.8 billion of basis swaps. Trade count totaled 333, including 102 basis swaps
  • SONIA traded notional totaled $4.2 trillion, including $88.8 billion of basis swaps. Trade count totaled 6,566, including 678 basis swaps
  • SARON traded notional and trade count was $6.3 billion and 27, respectively
  • TONA traded notional totaled $78.1 billion, including $1.0 billion of basis swaps. Trade count totaled 241, 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 12% and 6%, respectively
    • CDX HY traded notional decreased by 7%, while trade count increased by 2%
    • CDX IG traded notional decreased by 2%, while trade count increased by 4%
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 17%
  • 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 increased by 8% and 7%, respectively
    • CDX HY traded notional and trade count increased by 11% and 6%, respectively
    • CDX IG traded notional and trade count increased by 27% and 24%, respectively
    • iTraxx Europe  traded notional and trade count increased by 47% and 48%, respectively
  • 77% of total traded notional was cleared, flat compared with last year
  • 76% of total traded notional was executed On SEF vs. 72% last year