Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 15% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 6% and 12%, respectively
    • FRAs traded notional and trade count increased by 20% and 21%, respectively
    • OIS traded notional and trade count increased by 31% and 32%, respectively
  • 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 35% and 28%, respectively
    • Fixed-for-floating IRS traded notional decreased by 6%, while trade count increased by 9%
    • FRAs traded notional and trade count increased by 96% and 152%, respectively
    • OIS traded notional and trade count increased by 30% and 39%, respectively
  • 93% of total traded notional was cleared vs. 90% last year
  • 62% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data

Week Ending September 27, 2019

  • SOFR traded notional totaled $7.8 billion, including $5.3 billion of basis swaps. Trade count totaled 58, including 17 basis swaps
  • SONIA traded notional totaled $305.7 billion, including $3.9 billion of basis swaps. Trade count totaled 228, including 29 basis swaps
  • SARON traded notional and trade count was $1.5 billion and 3, respectively
  • TONA traded notional and trade count was $2.0 billion and 2, respectively

YTD Ending September 27, 2019

  • SOFR traded notional totaled $213.1 billion, including $73.3 billion of basis swaps. Trade count totaled 728, including 235 basis swaps
  • SONIA traded notional totaled $5.7 trillion, including $111.9 billion of basis swaps. Trade count totaled 9,191, including 883 basis swaps
  • SARON traded notional and trade count was $15.1 billion and 49, respectively
  • TONA traded notional totaled $131.3 billion, including $1.0 billion of basis swaps. Trade count totaled 338, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 3%, while trade count increased by 1%
    • CDX HY traded notional and trade count increased by 4% and 13%, respectively
    • CDX IG traded notional and trade count increased by 11% and 16%, respectively
    • iTraxx Europe traded notional and trade count decreased by 12% 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 19% and 14%, respectively
    • CDX HY  traded notional decreased by 5%, while trade count increased by 7%
    • CDX IG traded notional and trade count increased by 45% and 48%, respectively
    • iTraxx Europe traded notional and trade count increased by 25% and 15%, respectively
  • 86% of total traded notional was cleared vs. 87% last year
  • 82% of total traded notional was executed On SEF vs. 83% last year