Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count both increased by 15%
    • Fixed-for-floating IRS traded notional and trade count increased by 6% and 12%, respectively
    • FRAs traded notional and trade count increased by 19% and 22%, respectively
    • OIS traded notional and trade count increased by 31% and 32%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF, flat compared with last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 19% and 31%, respectively
    • Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 22%
    • FRAs traded notional and trade count increased by 43% and 72%, respectively
    • OIS traded notional and trade count increased by 53% and 39%, respectively
  • 89% of total traded notional was cleared vs. 87% last year
  • 49% of total traded notional was executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data

Week Ending October 11, 2019

  • SOFR traded notional totaled $10.8 billion, including $6.8 billion of basis swaps. Trade count totaled 54, including 17 basis swaps
  • SONIA traded notional totaled $230.3 billion, including $2.2 billion of basis swaps. Trade count totaled 262, including 23 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $17.3 billion and 21, respectively

YTD Ending October 11, 2019

  • SOFR traded notional totaled $232.8 billion, including $84.1 billion of basis swaps. Trade count totaled 843, including 274 basis swaps
  • SONIA traded notional totaled $6.1 trillion, including $116.7 billion of basis swaps. Trade count totaled 9,829, including 943 basis swaps
  • SARON traded notional and trade count was $15.5 billion and 50, respectively
  • TONA traded notional totaled $153.6 billion, including $1.0 billion of basis swaps. Trade count totaled 367, including 1 basis swap

Click Here to View Historical Benchmark Data

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional decreased by 2%, while trade count increased by 2%
    • CDX HY traded notional and trade count increased by 4% and 13%, respectively
    • CDX IG traded notional and trade count increased by 12% 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
  • 78% 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 22% and 21%, respectively
    • CDX HY traded notional and trade count decreased by 37% and 25%, respectively
    • CDX IG traded notional and trade count decreased by 12% and 11%, respectively
    • iTraxx Europe traded notional and trade count decreased by 35% and 29%, respectively
  • 80% of total traded notional was cleared vs. 87% last year
  • 78% of total traded notional was executed On SEF vs. 83% last year