Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 12% and 9%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 4% and 5%, respectively
- FRAs traded notional and trade count both increased by 23%
- OIS traded notional and trade count both increased by 21%
- 89% of total traded notional was cleared vs. 88% last year
- 59% 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 49% and 17%, respectively
- Fixed-for-floating IRS traded notional decreased by 0.2%, while trade count increased by 3%
- FRAs traded notional and trade count increased by 83% and 78%, respectively
- OIS traded notional and trade count increased by 100% and 78%, respectively
- 91% of total traded notional was cleared vs. 86% last year
- 58% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 26, 2019
- SOFR traded notional totaled $5.5 billion, including $3.9 billion of basis swaps. Trade count totaled 24, including 13 basis swap
- SONIA traded notional totaled $112.4 billion, including $4.3 billion of basis swaps. Trade count totaled 198, including 31 basis swaps
- SARON traded notional and trade count was $2.0 billion and 3, respectively
- TONA traded notional and trade count was $1.9 billion and 6, respectively
YTD Ending July 26, 2019
- SOFR traded notional totaled $148.4 billion, including $29.8 billion of basis swaps. Trade count totaled 333, including 102 basis swaps
- SONIA traded notional totaled $4.2 trillion, including $88.8 billion of basis swaps. Trade count totaled 6,566, including 678 basis swaps
- SARON traded notional and trade count was $6.3 billion and 27, respectively
- TONA traded notional totaled $78.1 billion, including $1.0 billion of basis swaps. Trade count totaled 241, 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 12% and 6%, respectively
- CDX HY traded notional decreased by 7%, while trade count increased by 2%
- CDX IG traded notional decreased by 2%, while trade count increased by 4%
- iTraxx Europe traded notional decreased by 13%, while trade count increased by 17%
- 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 8% and 7%, respectively
- CDX HY traded notional and trade count increased by 11% and 6%, respectively
- CDX IG traded notional and trade count increased by 27% and 24%, respectively
- iTraxx Europe traded notional and trade count increased by 47% and 48%, respectively
- 77% of total traded notional was cleared, flat compared with last year
- 76% of total traded notional was executed On SEF vs. 72% last year