Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 12% and 14%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 4% and 11%, respectively
- FRAs traded notional and trade count increased by 16% and 20%, respectively
- OIS traded notional and trade count increased by 29% and 30%, 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 and trade count decreased by 43% and 24%, respectively
- Fixed-for-floating IRS traded notional decreased by 44% and 23%, respectively
- FRAs traded notional and trade count decreased by 59% and 44%, respectively
- OIS traded notional and trade count decreased by 17% and 29%, respectively
- 86% of total traded notional was cleared vs. 88% last year
- 42% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 25, 2019
- SOFR traded notional totaled $20.1 billion, including $5.7 billion of basis swaps. Trade count totaled 27, including 13 basis swaps
- SONIA traded notional totaled $168.9 billion, including $800 million of basis swaps. Trade count totaled 193, including 8 basis swaps
- SARON traded notional and trade count was $4.0 billion and 2, respectively
- TONA traded notional and trade count was $10.8 billion and 24, respectively
- There were no €STR trades
YTD Ending October 25, 2019
- SOFR traded notional totaled $262.2 billion, including $95.1 billion of basis swaps. Trade count totaled 919, including 311 basis swaps
- SONIA traded notional totaled $6.3 trillion, including $119.4 billion of basis swaps. Trade count totaled 10,280, including 966 basis swaps
- SARON traded notional and trade count was $21.6 billion and 53, respectively
- TONA traded notional totaled $177.9 billion, including $1.0 billion of basis swaps. Trade count totaled 409, 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 5% and 2%, respectively
- CDX HY traded notional decreased by 1%, while trade count increased by 7%
- CDX IG traded notional and trade count increased by 7% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 13% and 3%, 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 66% and 64%, respectively
- CDX HY traded notional and trade count decreased by 73% and 72%, respectively
- CDX IG traded notional and trade count decreased by 68% and 64%, respectively
- iTraxx Europe traded notional and trade count decreased by 64% and 58%, respectively
- 76% of total traded notional was cleared vs. 84% last year
- 72% of total traded notional was executed On SEF vs. 81% last year