Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 15% and 14%, respectively
- 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 21%, respectively
- OIS traded notional and trade count increased by 31% and 32%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 58% of total traded notional was executed On SEF vs. 57% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional and trade count increased by 4% and 17%, respectively
- Fixed-for-floating IRS traded notional decreased by 4%, while trade count increased by 4%
- FRAs traded notional decreased by 12%, while trade count increased by 13%
- OIS traded notional and trade count increased by 25% and 38%, respectively
- 83% of total traded notional was cleared vs. 87% last year
- 52% of total traded notional was executed On SEF vs. 61% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 4, 2019
- SOFR traded notional totaled $8.9 billion, including $4.0 billion of basis swaps. Trade count totaled 61, including 22 basis swaps
- SONIA traded notional totaled $144.3 billion, including $2.5 billion of basis swaps. Trade count totaled 370, including 31 basis swaps
- SARON traded notional and trade count was $400.0 million and 1, respectively
- TONA traded notional and trade count was $5.0 billion and 8, respectively
YTD Ending October 4, 2019
- SOFR traded notional totaled $222.0 billion, including $77.3 billion of basis swaps. Trade count totaled 789, including 257 basis swaps
- SONIA traded notional totaled $5.8 trillion, including $114.5 billion of basis swaps. Trade count totaled 9,564, including 917 basis swaps
- SARON traded notional and trade count was $15.5 billion and 50, respectively
- TONA traded notional totaled $136.3 billion, including $1.0 billion of basis swaps. Trade count totaled 346, 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 3%
- CDX HY traded notional and trade count increased by 6% and 14%, respectively
- CDX IG traded notional and trade count increased by 13% and 17%, respectively
- iTraxx Europe traded notional and trade count decreased by 11% and 0.5%, 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 increased by 33% and 37%, respectively
- CDX HY traded notional and trade count increased by 44% and 50%, respectively
- CDX IG traded notional and trade count increased by 70% and 65%, respectively
- iTraxx Europe traded notional and trade count increased by 10% and 8%, respectively
- 85% of total traded notional was cleared, flat compared with last year
- 82% of total traded notional was executed On SEF vs. 81% last year