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 29%, 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 21%, while trade count increased by 4%
- Fixed-for-floating IRS traded notional decreased by 18%, while trade count increased by 2%
- FRAs traded notional decreased by 21%, while trade count increased by 8%
- OIS traded notional decreased by 24%, while trade count increased by 11%
- 89% of total traded notional was cleared vs. 90% last year
- 52% of total traded notional was executed On SEF vs. 49% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 15, 2019
- SOFR traded notional totaled $15.1 billion, including $11.0 billion of basis swaps. Trade count totaled 36, including 15 basis swaps
- SONIA traded notional totaled $169.5 billion, including $1.0 billion of basis swaps. Trade count totaled 201, including 13 basis swaps
- SARON traded notional and trade count was $20 million and 1, respectively
- TONA traded notional and trade count was $10.7 billion and 15, respectively
YTD Ending November 15, 2019
- SOFR traded notional totaled $295.5 billion, including $119.3 billion of basis swaps. Trade count totaled 1,025, including 357 basis swaps
- SONIA traded notional totaled $6.8 trillion, including $122.8 billion of basis swaps. Trade count totaled 10,970, including 1,004 basis swaps
- SARON traded notional and trade count was $21.7 billion and 55, respectively
- TONA traded notional totaled $212.9 billion, including $1.0 billion of basis swaps. Trade count totaled 457, including 1 basis swap
- €STR traded notional and trade count was $100 million and 1, respectively
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 8% and 4%, respectively
- CDX HY traded notional decreased by 5%, while trade count increased by 3%
- CDX IG traded notional and trade count increased by 3% and 8%, respectively
- iTraxx Europe traded notional and trade count decreased by 14% and 5%, respectively
- 81% 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 60% and 55%, respectively
- CDX HY traded notional and trade count decreased by 68% and 62%, respectively
- CDX IG traded notional and trade count decreased by 67% and 59%, respectively
- iTraxx Europe traded notional and trade count decreased by 40% and 41%, respectively
- 77% of total traded notional was cleared vs. 82% last year
- 73% of total traded notional was executed On SEF vs. 78% last year