Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 7% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count both increased by 1%
    • FRAs traded notional and trade count increased by 15% and 14%, respectively
    • OIS traded notional and trade count increased by 13% and 16%, 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 16% and 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 45% and 40%, respectively
    • FRAs traded notional and trade count decreased by 23% and 41%, respectively
    • OIS traded notional and trade count increased by 69% and 34%, respectively
  • 88% of total traded notional was cleared vs. 90% last year
  • 55% of total traded notional was executed On SEF vs. 64% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending June 7, 2019

  • SOFR traded notional totaled $1.0 billion, including $0.3 billion of basis swaps. Trade count totaled 15, including 2 basis swaps
  • SONIA traded notional totaled $161.2 billion, including $2.3 billion of basis swaps. Trade count totaled 290, including 25 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $2.7 billion and 7, respectively

YTD Ending June 7, 2019

  • SOFR traded notional totaled $91.3 billion, including $11.6 billion of basis swaps. Trade count totaled 213, including 63 basis swaps
  • SONIA traded notional totaled $2.9 trillion, including $67.2 billion of basis swaps. Trade count totaled 4,877, including 507 basis swaps
  • SARON traded notional and trade count was $3.0 billion and 13, respectively
  • TONA traded notional totaled $55.3 billion, including $1.0 billion of basis swaps. Trade count totaled 179, including 1 basis swap

Click Here to View Historical Benchmark Data

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 12% and 5%, respectively
    • CDX HY traded notional decreased by 11%, while trade count increased by 0.1%
    • CDX IG traded notional decreased by 3%, while trade count increased by 4%
    • iTraxx Europe traded notional decreased by 12%, while trade count increased by 25%
  • 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 6% and 14%, respectively
    • CDX HY traded notional and trade count increased by 53% and 56%, respectively
    • CDX IG traded notional and trade count increased by 28% and 27%, respectively
    • iTraxx Europe traded notional and trade count decreased by 15% and 0.4%, respectively
  • 85% of total traded notional was cleared, flat compared with last year
  • 80% of total traded notional was executed On SEF vs. 82% last year