Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 12% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 5%, respectively
    • FRAs traded notional and trade count increased by 21% and 22%, respectively
    • OIS traded notional and trade count increased by 19% and 20%, 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 33% and 30%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 17% and 25%, respectively
    • FRAs traded notional and trade count increased by 16% and 30%, respectively
    • OIS traded notional and trade count increased by 135% and 99%, respectively
  • 90% of total traded notional was cleared vs. 87% last year
  • 57% of total traded notional was executed On SEF vs. 62% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending July 19, 2019

  • SOFR traded notional totaled $2.7 billion, including $1.2 billion of basis swaps. Trade count totaled 17, including 3 basis swap
  • SONIA traded notional totaled $109.6 billion, including $3.9 billion of basis swaps. Trade count totaled 263, including 25 basis swaps
  • SARON traded notional and trade count was $40 million and 1, respectively
  • TONA traded notional and trade count was $2.4 billion and 5, respectively

YTD Ending July 19, 2019

  • SOFR traded notional totaled $142.8 billion, including $25.9 billion of basis swaps. Trade count totaled 309, including 89 basis swaps
  • SONIA traded notional totaled $4.0 trillion, including $84.4 billion of basis swaps. Trade count totaled 6,368, including 647 basis swaps
  • SARON traded notional and trade count was $4.2 billion and 24, respectively
  • TONA traded notional totaled $76.2 billion, including $1.0 billion of basis swaps. Trade count totaled 235, 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 3%, while trade count increased by 3%
    • iTraxx Europe traded notional decreased by 14%, 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 decreased by 20% and 14%, respectively
    • CDX HY traded notional and trade count both increased by 24%
    • CDX IG traded notional and trade count decreased by 6% and 3%, respectively
    • iTraxx Europe traded notional and trade count decreased by 41% and 26%, respectively
  • 78% of total traded notional was cleared vs. 83% last year
  • 74% of total traded notional was executed On SEF vs. 77% last year