Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count both increased by 14%
    • Fixed-for-floating IRS traded notional and trade count increased by 7% and 12%, respectively
    • FRAs traded notional and trade count increased by 18% and 19%, respectively
    • OIS traded notional and trade count both increased by 31%
  • 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 19% and 20%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 20%, respectively
    • FRAs traded notional increased by 5%, while trade count decreased by 7%
    • OIS traded notional and trade count increased by 62% and 67%, respectively
  • 90% of total traded notional was cleared vs. 89% last year
  • 47% of total traded notional was executed On SEF vs. 60% last year

Interest Rate Derivatives: Benchmark Data

Week Ending September 20, 2019

  • SOFR traded notional totaled $4.0 billion, including $2.4 billion of basis swaps. Trade count totaled 25, including 8 basis swaps
  • SONIA traded notional totaled $102.6 billion, including $1.8 billion of basis swaps. Trade count totaled 274, including 21 basis swaps
  • SARON traded notional and trade count was $1.8 billion and 3, respectively
  • TONA traded notional and trade count was $15.6 billion and 12, respectively

YTD Ending September 20, 2019

  • SOFR traded notional totaled $205.3 billion, including $68.0 billion of basis swaps. Trade count totaled 670, including 218 basis swaps
  • SONIA traded notional totaled $5.4 trillion, including $108.0 billion of basis swaps. Trade count totaled 8,965, including 854 basis swaps
  • SARON traded notional and trade count was $13.6 billion and 46, respectively
  • TONA traded notional totaled $129.3 billion, including $1.0 billion of basis swaps. Trade count totaled 336, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 4%, while trade count increased by 1%
    • CDX HY traded notional and trade count increased by 5% and 13%, respectively
    • CDX IG traded notional and trade count increased by 10% and 15%, respectively
    • iTraxx Europe traded notional and trade count decreased by 13% and 1%, respectively
  • 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 1% and 6%, respectively
    • CDX HY traded notional and trade count increased by 24% and 42%, respectively
    • CDX IG traded notional and trade count increased by 16% and 24%, respectively
    • iTraxx Europe traded notional and trade count increased by 14% and 25%, respectively
  • 83% of total traded notional was cleared vs. 84% last year
  • 79% of total traded notional was executed On SEF vs. 80% last year