Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 13% and 10%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 5% and 7%, respectively
- FRAs traded notional and trade count increased by 19% and 20%, respectively
- OIS traded notional and trade count both increased by 25%
- 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 42%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 44% and 67%, respectively
- FRAs traded notional and trade count decreased by 42% and 45%, respectively
- OIS traded notional and trade count increased by 143% and 127%, respectively
- 89% of total traded notional was cleared vs. 90% last year
- 53% of total traded notional was executed On SEF vs. 62% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 9, 2019
- SOFR traded notional totaled $9.2 billion, including $5.3 billion of basis swaps. Trade count totaled 65, including 18 basis swaps
- SONIA traded notional totaled $200.7 billion, including $2.9 billion of basis swaps. Trade count totaled 278, including 29 basis swaps
- SARON traded notional and trade count was $0.7 billion and 6, respectively
- TONA traded notional and trade count was $4.4 billion and 13, respectively
YTD Ending August 9, 2019
- SOFR traded notional totaled $162.4 billion, including $37.9 billion of basis swaps. Trade count totaled 422, including 131 basis swaps
- SONIA traded notional totaled $4.5 trillion, including $93.7 billion of basis swaps. Trade count totaled 7,126, including 728 basis swaps
- SARON traded notional and trade count was $6.9 billion and 33, respectively
- TONA traded notional totaled $87.5 billion, including $1.0 billion of basis swaps. Trade count totaled 259, including 1 basis swap
Click Here to View Historical Benchmark Data
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 8% and 2%, respectively
- CDX HY traded notional decreased by 1%, while trade count increased by 7%
- CDX IG traded notional and trade count increased by 3% and 8%, respectively
- iTraxx Europe traded notional decreased by 10%, while trade count increased by 19%
- 80% 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 105% and 89%, respectively
- CDX HY traded notional and trade count increased by 169% and 147%, respectively
- CDX IG traded notional and trade count increased by 158% and 130%, respectively
- iTraxx Europe traded notional and trade count increased by 115% and 86%, respectively
- 84% of total traded notional was cleared vs. 81% last year
- 82% of total traded notional was executed On SEF vs. 77% last year