Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count both increased by 14%
- Fixed-for-floating IRS traded notional and trade count increased by 5% and 12%, respectively
- FRAs traded notional and trade count increased by 18% and 21%, respectively
- OIS traded notional and trade count increased by 30% and 32%, 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 22%, while trade count increased 1%
- Fixed-for-floating IRS traded notional decreased by 29%, while trade count increased by 4%
- FRAs traded notional and trade count decreased by 23% and 11%, respectively
- OIS traded notional and trade count increased by 7% and 21%, respectively
- 88% of total traded notional was cleared, flat compared with last year
- 54% of total traded notional was executed On SEF, flat compared with last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 18, 2019
- SOFR traded notional totaled $9.3 billion, including $5.3 billion of basis swaps. Trade count totaled 49, including 24 basis swaps
- SONIA traded notional totaled $115.0 billion, including $1.6 billion of basis swaps. Trade count totaled 261, including 17 basis swaps
- SARON traded notional and trade count was $2.0 billion and 1, respectively
- TONA traded notional and trade count was $13.5 billion and 18, respectively
YTD Ending October 18, 2019
- SOFR traded notional totaled $242.1 billion, including $89.5 billion of basis swaps. Trade count totaled 892, including 298 basis swaps
- SONIA traded notional totaled $6.2 trillion, including $118.4 billion of basis swaps. Trade count totaled 10,090, including 960 basis swaps
- SARON traded notional and trade count was $17.5 billion and 51, respectively
- TONA traded notional totaled $167.1 billion, including $1.0 billion of basis swaps. Trade count totaled 385, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional decreased by 3%, while trade count increased by 1%
- CDX HY traded notional and trade count increased by 2% and 11%, respectively
- CDX IG traded notional and trade count increased by 10% and 14%, respectively
- iTraxx Europe traded notional and trade count decreased by 12% and 1%, respectively
- 81% of total traded notional was cleared vs. 83% last year
- 78% 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 both decreased by 35%
- CDX HY traded notional and trade count decreased by 54% and 43%, respectively
- CDX IG traded notional and trade count decreased by 53% and 48%, respectively
- iTraxx Europe traded notional and trade count decreased by 9% and 6%, respectively
- 76% of total traded notional was cleared vs. 85% last year
- 71% of total traded notional was executed On SEF vs. 81% last year