Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 13% and 12%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 7% and 10%, respectively
- FRAs traded notional and trade count increased by 18% and 20%, respectively
- OIS traded notional and trade count increased by 26% and 28%, 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 30% and 59%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 61% and 75%, respectively
- FRAs traded notional decreased by 2%, while trade count increased by 7%
- OIS traded notional and trade count increased by 71% and 65%, respectively
- 89% of total traded notional was cleared, flat compared with last year
- 61% of total traded notional was executed On SEF vs. 64% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 23, 2019
- SOFR traded notional totaled $5.7 billion, including $4.4 billion of basis swaps. Trade count totaled 41, including 17 basis swaps
- SONIA traded notional totaled $130.4 billion, including $1.5 billion of basis swaps. Trade count totaled 386, including 24 basis swaps
- SARON traded notional and trade count was $20 million and 2, respectively
- TONA traded notional and trade count was $3.4 billion and 9, respectively
YTD Ending August 23, 2019
- SOFR traded notional totaled $175.4 billion, including $45.4 billion of basis swaps. Trade count totaled 513, including 158 basis swaps
- SONIA traded notional totaled $4.8 trillion, including $98.4 billion of basis swaps. Trade count totaled 7,801, including 770 basis swaps
- SARON traded notional and trade count was $7.1 billion and 38, respectively
- TONA traded notional totaled $94.6 billion, including $1.0 billion of basis swaps. Trade count totaled 277, including 1 basis swap
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional decreased by 5%, while trade count increased by 0.2%
- CDX HY traded notional and trade count increased by 3% and 11%, respectively
- CDX IG traded notional and trade count increased by 9% and 13%, respectively
- iTraxx Europe traded notional decreased by 7%, while trade count increased by 21%
- 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 108% and 77%, respectively
- CDX HY traded notional and trade count increased by 120% and 111%, respectively
- CDX IG traded notional and trade count increased by 171% and 156%, respectively
- iTraxx Europe traded notional and trade count increased by 119% and 97%, respectively
- 81% of total traded notional was cleared, flat compared with last year
- 78% of total traded notional was executed on SEF, flat compared with last year