Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 10% and 7%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 2% and 3%, respectively
- FRAs traded notional and trade count increased by 19% and 20%, respectively
- OIS traded notional and trade count increased by 16% and 17%, 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 35% and 28%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 8% and 16%, respectively
- FRAs traded notional and trade count increased by 81% and 104%, respectively
- OIS traded notional and trade count increased by 58% and 18%, respectively
- 89% of total traded notional was cleared vs. 85% last year
- 63% of total traded notional was executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending June 28, 2019
- SOFR traded notional totaled $11.8 billion, including $9.2 billion of basis swaps. Trade count totaled 16, including 9 basis swaps
- SONIA traded notional totaled $116.0 billion, including $0.8 billion of basis swaps. Trade count totaled 198, including 14 basis swaps
- SARON traded notional and trade count was $0.6 billion and 1, respectively
- TONA traded notional and trade count was $4.8 billion and 6, respectively
YTD Ending June 28, 2019
- SOFR traded notional totaled $107.3 billion, including $21.1 billion of basis swaps. Trade count totaled 257, including 76 basis swaps
- SONIA traded notional totaled $3.4 trillion, including $75.2 billion of basis swaps. Trade count totaled 5,533, including 571 basis swaps
- SARON traded notional and trade count was $3.9 billion and 19, respectively
- TONA traded notional totaled $69.9 billion, including $1.0 billion of basis swaps. Trade count totaled 209, 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 12% and 5%, respectively
- CDX HY traded notional decreased by 9%, while trade count increased by 1%
- 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 20%
- 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 decreased by 31% and 33%, respectively
- CDX HY traded notional and trade count decreased by 32% and 31%, respectively
- CDX IG traded notional and trade count decreased by 23% and 22%, respectively
- iTraxx Europe traded notional and trade count decreased by 41% and 23%, respectively
- 77% of total traded notional was cleared vs. 85% last year
- 73% of total traded notional was executed On SEF vs. 83% last year