Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 13% and 9%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 6%, respectively
    • FRAs traded notional and trade count increased by 22% and 23%, respectively
    • OIS traded notional and trade count both increased by 22%
  • 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 20% and 26%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 29% and 30%, respectively
    • FRAs traded notional decreased by 3%, while trade count increased by 11%
    • OIS traded notional and trade count both increased by 67%
  • 89% of total traded notional was cleared vs. 85% last year
  • 53% of total traded notional was executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending August 2, 2019

  • SOFR traded notional totaled $4.8 billion, including $2.8 billion of basis swaps. Trade count totaled 24, including 11 basis swap
  • SONIA traded notional totaled $187.2 billion, including $2.0 billion of basis swaps. Trade count totaled 281, including 21 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $5.0 billion and 5, respectively

YTD Ending August 2, 2019

  • SOFR traded notional totaled $153.1 billion, including $32.6 billion of basis swaps. Trade count totaled 357, including 113 basis swaps
  • SONIA traded notional totaled $4.3 trillion, including $90.8 billion of basis swaps. Trade count totaled 6,847, including 699 basis swaps
  • SARON traded notional and trade count was $6.3 billion and 27, respectively
  • TONA traded notional totaled $83.1 billion, including $1.0 billion of basis swaps. Trade count totaled 246, 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 10% and 4%, respectively
    • CDX HY traded notional decreased by 5%, while trade count increased by 4%
    • CDX IG traded notional and trade count increased by 0.01% and 6%, respectively
    • iTraxx Europe traded notional decreased by 12%, 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 increased by 65% and 49%, respectively
    • CDX HY traded notional and trade count increased by 110% and 109%, respectively
    • CDX IG traded notional and trade count increased by 118% and 88%, respectively
    • iTraxx Europe  traded notional and trade count increased by 55% and 43%, respectively
  • 81% of total traded notional was cleared, flat compared with last year
  • 78% of total traded notional was executed On SEF vs. 77% last year