Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 11% and 8%, 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 21%
    • OIS traded notional and trade count increased by 16% and 18%, respectively
  • 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 26% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 9% and 13%, respectively
    • FRAs traded notional and trade count increased by 98% and 93%, respectively
    • OIS traded notional and trade count increased by 7% and 26%, respectively
  • 90% of total traded notional was cleared vs. 83% last year
  • 58% of total traded notional was executed On SEF vs. 62% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending July 12, 2019

  • SOFR traded notional totaled $23.5 billion, including $3.5 billion of basis swaps. Trade count totaled 24, including 9 basis swap
  • SONIA traded notional totaled $161.3 billion, including $2.6 billion of basis swaps. Trade count totaled 271, including 25 basis swaps
  • SARON traded notional and trade count was $0.1 billion and 3, respectively
  • TONA traded notional and trade count was $2.2 billion and 11, respectively

YTD Ending July 12, 2019

  • SOFR traded notional totaled $140.1 billion, including $24.7 billion of basis swaps. Trade count totaled 292, including 86 basis swaps
  • SONIA traded notional totaled $3.9 trillion, including $80.6 billion of basis swaps. Trade count totaled 6,105, including 622 basis swaps
  • SARON traded notional and trade count was $4.2 billion and 23, respectively
  • TONA traded notional totaled $73.8 billion, including $1.0 billion of basis swaps. Trade count totaled 230, 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 8%, while trade count increased by 1%
    • CDX IG traded notional decreased by 3%, while trade count increased by 3%
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 18%
  • 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 30% and 27%, respectively
    • CDX HY traded notional and trade count decreased by 16% and 12%, respectively
    • CDX IG traded notional and trade count decreased by 28% and 25%, respectively
    • iTraxx Europe traded notional and trade count decreased by 21% and 14%, respectively
  • 78% of total traded notional was cleared vs. 83% last year
  • 76% of total traded notional was executed On SEF vs. 79% last year