Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 13% and 9%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 4% and 6%, respectively
- FRAs traded notional and trade count increased by 22% and 23%, respectively
- OIS traded notional and trade count both increased by 22%
- 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 20% and 26%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 29% and 30%, respectively
- FRAs traded notional decreased by 3%, while trade count increased by 11%
- OIS traded notional and trade count both increased by 67%
- 89% of total traded notional was cleared vs. 85% last year
- 53% of total traded notional was executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending August 2, 2019
- SOFR traded notional totaled $4.8 billion, including $2.8 billion of basis swaps. Trade count totaled 24, including 11 basis swap
- SONIA traded notional totaled $187.2 billion, including $2.0 billion of basis swaps. Trade count totaled 281, including 21 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $5.0 billion and 5, respectively
YTD Ending August 2, 2019
- SOFR traded notional totaled $153.1 billion, including $32.6 billion of basis swaps. Trade count totaled 357, including 113 basis swaps
- SONIA traded notional totaled $4.3 trillion, including $90.8 billion of basis swaps. Trade count totaled 6,847, including 699 basis swaps
- SARON traded notional and trade count was $6.3 billion and 27, respectively
- TONA traded notional totaled $83.1 billion, including $1.0 billion of basis swaps. Trade count totaled 246, including 1 basis swap
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 10% and 4%, respectively
- CDX HY traded notional decreased by 5%, while trade count increased by 4%
- CDX IG traded notional and trade count increased by 0.01% and 6%, respectively
- iTraxx Europe traded notional decreased by 12%, while trade count increased by 18%
- 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 65% and 49%, respectively
- CDX HY traded notional and trade count increased by 110% and 109%, respectively
- CDX IG traded notional and trade count increased by 118% and 88%, respectively
- iTraxx Europe traded notional and trade count increased by 55% and 43%, respectively
- 81% of total traded notional was cleared, flat compared with last year
- 78% of total traded notional was executed On SEF vs. 77% last year