Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 14% and 13%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 7% and 11%, respectively
- FRAs traded notional and trade count increased by 18% and 20%, respectively
- OIS traded notional and trade count increased by 27% and 29%, 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 26% and 34%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 12% and 33%, respectively
- FRAs traded notional and trade count increased by 22% and 34%, respectively
- OIS traded notional and trade count increased by 72% and 106%, respectively
- 90% of total traded notional was cleared vs. 85% last year
- 50% of total traded notional was executed On SEF vs. 52% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 30, 2019
- SOFR traded notional totaled $2.3 billion, including $1.5 billion of basis swaps. Trade count totaled 41, including 9 basis swaps
- SONIA traded notional totaled $107.6 billion, including $2.3 billion of basis swaps. Trade count totaled 299, including 13 basis swaps
- SARON traded notional and trade count was $1.0 billion and 1, respectively
- TONA traded notional and trade count was $8.0 billion and 13, respectively
YTD Ending August 30, 2019
- SOFR traded notional totaled $177.7 billion, including $47.0 billion of basis swaps. Trade count totaled 554, including 167 basis swaps
- SONIA traded notional totaled $4.9 trillion, including $100.7 billion of basis swaps. Trade count totaled 8,099, including 782 basis swaps
- SARON traded notional and trade count was $8.1 billion and 39, respectively
- TONA traded notional totaled $102.6 billion, including $1.0 billion of basis swaps. Trade count totaled 290, 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 4% and 12%, respectively
- CDX IG traded notional and trade count increased by 10% and 14%, respectively
- iTraxx Europe traded notional and trade count decreased by 15% 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 increased by 55% and 36%, respectively
- CDX HY traded notional and trade count increased by 66% and 65%, respectively
- CDX IG traded notional and trade count increased by 109% and 95%, respectively
- iTraxx Europe traded notional and trade count increased by 65% and 52%, respectively
- 79% of total traded notional was cleared, flat compared with last year
- 77% of total traded notional was executed On SEF vs. 75% last year