Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 9% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 1% and 11%, respectively
    • FRAs traded notional and trade count increased by 13% and 20%, respectively
    • OIS traded notional and trade count increased by 23% and 28%, 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 decreased by 11%, while trade count increased by 7%
    • Fixed-for-floating IRS traded notional and trade count decreased by 33% and 10%, respectively
    • FRAs traded notional and trade count increased by 30% and 119%, respectively
    • OIS traded notional decreased by 22%, while trade count increased by 9%
  • 89% of total traded notional was cleared vs. 91% last year
  • 60% of total traded notional was executed On SEF vs. 51% last year

Interest Rate Derivatives: Benchmark Data

Week Ending December 6, 2019

  • SOFR traded notional totaled $18.8 billion, including $16.1 billion of basis swaps. Trade count totaled 44, including 12 basis swaps
  • SONIA traded notional totaled $129.8 billion, including $3.5 billion of basis swaps. Trade count totaled 305, including 31 basis swaps
  • SARON traded notional and trade count was $1.7 billion and 7, respectively
  • TONA traded notional and trade count was $6.3 billion and 15, respectively
  • €STR traded notional and trade count was $40 million and 3, respectively

YTD Ending December 6, 2019

  • SOFR traded notional totaled $347.0 billion, including $158.4 billion of basis swaps. Trade count totaled 1,154 including 400 basis swaps
  • SONIA traded notional totaled $7.2 trillion, including $140.2 billion of basis swaps. Trade count totaled 11,926, including 1,112 basis swaps
  • SARON traded notional and trade count was $23.9 billion and 63, respectively
  • TONA traded notional totaled $223.1 billion, including $1.0 billion of basis swaps. Trade count totaled 479, including 1 basis swap
  • €STR traded notional and trade count was $200 million and 6, 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 10% and 7%, respectively
    • CDX HY traded notional and trade count decreased by 8% and 1%, respectively
    • CDX IG traded notional decreased by 1%, while trade count increased by 4%
    • iTraxx Europe traded notional and trade count decreased by 15% and 7%, 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 35% and 34%, respectively
    • CDX HY traded notional and trade count decreased by 43% and 40%, respectively
    • CDX IG traded notional and trade count both decreased by 32%
    • iTraxx Europe traded notional and trade count decreased by 36% and 37%, respectively
  • 78% of total traded notional was cleared vs. 82% last year
  • 75% of total traded notional was executed On SEF vs.79% last year