Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 11% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 12%, respectively
    • FRAs traded notional and trade count increased by 14% and 19%, respectively
    • OIS traded notional and trade count increased by 26% and 30%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 2% and 45%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 5% and 46%, respectively
    • FRAs traded notional traded notional and trade count increased by 2% and 22%, respectively
    • OIS traded notional decreased by 8%, while trade count increased by 64%
  • 87% of total traded notional was cleared vs. 90% last year
  • 56% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 22, 2019

  • SOFR traded notional totaled $22.1 billion, including $13.6 billion of basis swaps. Trade count totaled 54, including 19 basis swaps
  • SONIA traded notional totaled $123.2 billion, including $8.4 billion of basis swaps. Trade count totaled 356, including 48 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $2.9 billion and 3, respectively
  • There were no €STR trades

YTD Ending November 22, 2019

  • SOFR traded notional totaled $317.6 billion, including $132.9 billion of basis swaps. Trade count totaled 1,079, including 376 basis swaps
  • SONIA traded notional totaled $6.9 trillion, including $131.2 billion of basis swaps. Trade count totaled 11,325, including 1,052 basis swaps
  • SARON traded notional and trade count was $21.7 billion and 55, respectively
  • TONA traded notional totaled $215.8 billion, including $1.0 billion of basis swaps. Trade count totaled 460, including 1 basis swap
  • €STR traded notional and trade count was $100 million and 1, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 8% and 5%, respectively
    • CDX HY traded notional decreased by 6%, while trade count increased by 2%
    • CDX IG traded notional and trade count increased by 2% and 7%, respectively
    • iTraxx Europe traded notional and trade count decreased by 14% and 6%, respectively
  • 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 decreased by 31% and 28%, respectively
    • CDX HY traded notional and trade count both decreased by 30%
    • CDX IG traded notional and trade count decreased by 35% and 27%, respectively
    • iTraxx Europe traded notional and trade count decreased by 31% and 36%, respectively
  • 71% of total traded notional was cleared vs. 83% last year
  • 67% of total traded notional was executed On SEF vs.83% last year