Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count both increased by 15%
- Fixed-for-floating IRS traded notional and trade count increased by 6% and 12%, respectively
- FRAs traded notional and trade count increased by 19% and 22%, respectively
- OIS traded notional and trade count increased by 31% 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 and trade count increased by 19% and 31%, respectively
- Fixed-for-floating IRS traded notional decreased by 9%, while trade count increased by 22%
- FRAs traded notional and trade count increased by 43% and 72%, respectively
- OIS traded notional and trade count increased by 53% and 39%, respectively
- 89% of total traded notional was cleared vs. 87% last year
- 49% of total traded notional was executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 11, 2019
- SOFR traded notional totaled $10.8 billion, including $6.8 billion of basis swaps. Trade count totaled 54, including 17 basis swaps
- SONIA traded notional totaled $230.3 billion, including $2.2 billion of basis swaps. Trade count totaled 262, including 23 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $17.3 billion and 21, respectively
YTD Ending October 11, 2019
- SOFR traded notional totaled $232.8 billion, including $84.1 billion of basis swaps. Trade count totaled 843, including 274 basis swaps
- SONIA traded notional totaled $6.1 trillion, including $116.7 billion of basis swaps. Trade count totaled 9,829, including 943 basis swaps
- SARON traded notional and trade count was $15.5 billion and 50, respectively
- TONA traded notional totaled $153.6 billion, including $1.0 billion of basis swaps. Trade count totaled 367, including 1 basis swap
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional decreased by 2%, while trade count increased by 2%
- CDX HY traded notional and trade count increased by 4% and 13%, respectively
- CDX IG traded notional and trade count increased by 12% and 16%, 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 decreased by 22% and 21%, respectively
- CDX HY traded notional and trade count decreased by 37% and 25%, respectively
- CDX IG traded notional and trade count decreased by 12% and 11%, respectively
- iTraxx Europe traded notional and trade count decreased by 35% and 29%, respectively
- 80% of total traded notional was cleared vs. 87% last year
- 78% of total traded notional was executed On SEF vs. 83% last year