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 15% and 19%, respectively
- OIS traded notional and trade count increased by 28% and 29%, 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 2%, while trade count increased by 36%
- Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 35%
- FRAs traded notional decreased by 7%, while trade count increased by 22%
- OIS traded notional decreased by 2%, while trade count increased by 26%
- 85% of total traded notional was cleared vs. 89% last year
- 55% of total traded notional was executed On SEF vs. 52% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 8, 2019
- SOFR traded notional totaled $4.7 billion, including $2.1 billion of basis swaps. Trade count totaled 29, including 11 basis swaps
- SONIA traded notional totaled $157.2 billion, including $1.5 billion of basis swaps. Trade count totaled 227, including 17 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $5.5 billion and 10, respectively
- There were no €STR trades
YTD Ending November 8, 2019
- SOFR traded notional totaled $280.5 billion, including $108.3 billion of basis swaps. Trade count totaled 989, including 342 basis swaps
- SONIA traded notional totaled $6.6 trillion, including $121.8 billion of basis swaps. Trade count totaled 10,768, including 991 basis swaps
- SARON traded notional and trade count was $21.7 billion and 54, respectively
- TONA traded notional totaled $202.2 billion, including $1.0 billion of basis swaps. Trade count totaled 442, 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 6% and 3%, respectively
- CDX HY traded notional decreased by 3%, while trade count increased by 5%
- CDX IG traded notional and trade count increased by 5% and 10%, respectively
- iTraxx Europe traded notional and trade count decreased by 13% and 4%, 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 19% and 17%, respectively
- CDX HY traded notional and trade count decreased by 35% and 25%, respectively
- CDX IG traded notional and trade count decreased by 21% and 13%, respectively
- iTraxx Europe traded notional and trade count decreased by 3% and 17%, respectively
- 76% of total traded notional was cleared vs. 75% last year
- 72% of total traded notional was executed On SEF vs. 71% last year