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 7% and 12%, respectively
- FRAs traded notional and trade count increased by 18% and 19%, respectively
- OIS traded notional and trade count both increased by 31%
- 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 19% and 20%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 4% and 20%, respectively
- FRAs traded notional increased by 5%, while trade count decreased by 7%
- OIS traded notional and trade count increased by 62% and 67%, respectively
- 90% of total traded notional was cleared vs. 89% last year
- 47% of total traded notional was executed On SEF vs. 60% last year
Interest Rate Derivatives: Benchmark Data
Week Ending September 20, 2019
- SOFR traded notional totaled $4.0 billion, including $2.4 billion of basis swaps. Trade count totaled 25, including 8 basis swaps
- SONIA traded notional totaled $102.6 billion, including $1.8 billion of basis swaps. Trade count totaled 274, including 21 basis swaps
- SARON traded notional and trade count was $1.8 billion and 3, respectively
- TONA traded notional and trade count was $15.6 billion and 12, respectively
YTD Ending September 20, 2019
- SOFR traded notional totaled $205.3 billion, including $68.0 billion of basis swaps. Trade count totaled 670, including 218 basis swaps
- SONIA traded notional totaled $5.4 trillion, including $108.0 billion of basis swaps. Trade count totaled 8,965, including 854 basis swaps
- SARON traded notional and trade count was $13.6 billion and 46, respectively
- TONA traded notional totaled $129.3 billion, including $1.0 billion of basis swaps. Trade count totaled 336, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional decreased by 4%, while trade count increased by 1%
- CDX HY traded notional and trade count increased by 5% and 13%, respectively
- CDX IG traded notional and trade count increased by 10% and 15%, respectively
- iTraxx Europe traded notional and trade count decreased by 13% and 1%, 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 increased by 1% and 6%, respectively
- CDX HY traded notional and trade count increased by 24% and 42%, respectively
- CDX IG traded notional and trade count increased by 16% and 24%, respectively
- iTraxx Europe traded notional and trade count increased by 14% and 25%, respectively
- 83% of total traded notional was cleared vs. 84% last year
- 79% of total traded notional was executed On SEF vs. 80% last year