Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 8% and 13%, respectively
- Fixed-for-floating IRS traded notional decreased by 0.4%, while trade count increased by 10%
- FRAs traded notional and trade count increased by 13% and 19%, 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 18%, while trade count increased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 31% and 2%, respectively
- FRAs traded notional decreased by 7%, while trade count increased by 6%
- OIS traded notional decreased by 8%, while trade count increased by 18%
- 87% of total traded notional was cleared vs. 90% last year
- 47% of total traded notional was executed On SEF vs. 49% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 13, 2019
- SOFR traded notional totaled $26.2 billion, including $23.3 billion of basis swaps. Trade count totaled 38, including 16 basis swaps
- SONIA traded notional totaled $334.2 billion, including $2.3 billion of basis swaps. Trade count totaled 333, including 18 basis swaps
- SARON traded notional and trade count was $600 million and 1, respectively
- TONA traded notional and trade count was $14.8 billion and 15, respectively
- There were no €STR trades
YTD Ending December 13, 2019
- SOFR traded notional totaled $373.3 billion, including $181.7 billion of basis swaps. Trade count totaled 1,192 including 416 basis swaps
- SONIA traded notional totaled $7.6 trillion, including $142.5 billion of basis swaps. Trade count totaled 12,259, including 1,130 basis swaps
- SARON traded notional and trade count was $24.5 billion and 64, respectively
- TONA traded notional totaled $237.9 billion, including $1.0 billion of basis swaps. Trade count totaled 494, including 1 basis swap
- €STR traded notional and trade count was $200 million and 6, respectively
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 11% and 7%, respectively
- CDX HY traded notional and trade count decreased by 9% and 2%, respectively
- CDX IG traded notional decreased by 1%, while trade count increased by 3%
- 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 29% and 31%, respectively
- CDX HY traded notional and trade count both decreased by 39%
- CDX IG traded notional and trade count decreased by 27% and 26%, respectively
- iTraxx Europe traded notional and trade count decreased by 6% and 19%, respectively
- 76% of total traded notional was cleared vs. 78% last year
- 72% of total traded notional was executed On SEF vs.75% last year