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 5% and 12%, respectively
    • FRAs traded notional and trade count increased by 18% and 21%, respectively
    • OIS traded notional and trade count increased by 30% 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 decreased by 22%, while trade count increased 1%
    • Fixed-for-floating IRS traded notional decreased by 29%, while trade count increased by 4%
    • FRAs traded notional and trade count decreased by 23% and 11%, respectively
    • OIS traded notional and trade count increased by 7% and 21%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 54% of total traded notional was executed On SEF, flat compared with last year

Interest Rate Derivatives: Benchmark Data

Week Ending October 18, 2019

  • SOFR traded notional totaled $9.3 billion, including $5.3 billion of basis swaps. Trade count totaled 49, including 24 basis swaps
  • SONIA traded notional totaled $115.0 billion, including $1.6 billion of basis swaps. Trade count totaled 261, including 17 basis swaps
  • SARON traded notional and trade count was $2.0 billion and 1, respectively
  • TONA traded notional and trade count was $13.5 billion and 18, respectively

YTD Ending October 18, 2019

  • SOFR traded notional totaled $242.1 billion, including $89.5 billion of basis swaps. Trade count totaled 892, including 298 basis swaps
  • SONIA traded notional totaled $6.2 trillion, including $118.4 billion of basis swaps. Trade count totaled 10,090, including 960 basis swaps
  • SARON traded notional and trade count was $17.5 billion and 51, respectively
  • TONA traded notional totaled $167.1 billion, including $1.0 billion of basis swaps. Trade count totaled 385, 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 3%, while trade count increased by 1%
    • CDX HY traded notional and trade count increased by 2% and 11%, respectively
    • CDX IG traded notional and trade count increased by 10% and 14%, 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 both decreased by 35%
    • CDX HY traded notional and trade count decreased by 54% and 43%, respectively
    • CDX IG traded notional and trade count decreased by 53% and 48%, respectively
    • iTraxx Europe traded notional and trade count decreased by 9% and 6%, respectively
  • 76% of total traded notional was cleared vs. 85% last year
  • 71% of total traded notional was executed On SEF vs. 81% last year