Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 10% and 8%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 3% and 4%, respectively
- FRAs traded notional and trade count increased by 19% and 20%, respectively
- OIS traded notional and trade count increased by 17% and 18%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 59% of total traded notional was executed On SEF vs. 56% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional and trade count increased by 38% and 41%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 54% and 47%, respectively
- FRAs traded notional and trade count increased by 21% and 2%, respectively
- OIS traded notional and trade count increased by 45% and 57%, respectively
- 87% of total traded notional was cleared, flat compared with last year
- 53% of total traded notional was executed On SEF vs. 59% last year
Interest Rate Derivatives: Benchmark Data
Week Ending July 5, 2019
- SOFR traded notional totaled $9.3 billion, including $0.1 billion of basis swaps. Trade count totaled 11, including 1 basis swap
- SONIA traded notional totaled $353.4 billion, including $2.8 billion of basis swaps. Trade count totaled 300, including 27 basis swaps
- SARON traded notional and trade count was $0.2 billion and 1, respectively
- TONA traded notional and trade count was $1.6 billion and 10, respectively
YTD Ending July 5, 2019
- SOFR traded notional totaled $116.6 billion, including $21.2 billion of basis swaps. Trade count totaled 268, including 77 basis swaps
- SONIA traded notional totaled $3.8 trillion, including $78.0 billion of basis swaps. Trade count totaled 5,836, including 598 basis swaps
- SARON traded notional and trade count was $4.1 billion and 20, respectively
- TONA traded notional totaled $71.5 billion, including $1.0 billion of basis swaps. Trade count totaled 219, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 11% and 5%, 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 5%
- iTraxx Europe traded notional decreased by 13%, while trade count increased by 19%
- 81% of total traded notional was cleared vs. 84% 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 6% and 3%, respectively
- CDX HY traded notional and trade count increased by 63% and 35%, respectively
- CDX IG traded notional and trade count increased by 21% and 19%, respectively
- iTraxx Europe traded notional and trade count decreased by 17% and 11%, respectively
- 79% of total traded notional was cleared vs. 87% last year
- 75% of total traded notional was executed On SEF vs. 82% last year