Interest Rate Derivatives

2019 YTD vs. 2018 YTD

• Total IRD traded notional and trade count increased by 8% and 13%, respectively
  • Fixed-for-floating IRS traded notional decreased by 0.4%, while trade count increased by 10%
  • FRAs traded notional and trade count increased by 13% and 19%, respectively
  • OIS traded notional and trade count increased by 23% and 28%, respectively
• 89% of total traded notional was cleared vs. 88% last year
• 57% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

• Total IRD traded notional decreased by 18%, while trade count increased by 1%
  • Fixed-for-floating IRS traded notional and trade count decreased by 31% and 2%, respectively
  • FRAs traded notional decreased by 7%, while trade count increased by 6%
  • OIS traded notional decreased by 8%, while trade count increased by 18%
• 87% of total traded notional was cleared vs. 90% last year
• 47% of total traded notional was executed On SEF vs. 49% last year

Interest Rate Derivatives: Benchmark Data

Week Ending December 13, 2019

• SOFR traded notional totaled $26.2 billion, including $23.3 billion of basis swaps. Trade count totaled 38, including 16 basis swaps
• SONIA traded notional totaled $334.2 billion, including $2.3 billion of basis swaps. Trade count totaled 333, including 18 basis swaps
• SARON traded notional and trade count was $600 million and 1, respectively
• TONA traded notional and trade count was $14.8 billion and 15, respectively
• There were no €STR trades

YTD Ending December 13, 2019

• SOFR traded notional totaled $373.3 billion, including $181.7 billion of basis swaps. Trade count totaled 1,192 including 416 basis swaps
• SONIA traded notional totaled $7.6 trillion, including $142.5 billion of basis swaps. Trade count totaled 12,259, including 1,130 basis swaps
• SARON traded notional and trade count was $24.5 billion and 64, respectively
• TONA traded notional totaled $237.9 billion, including $1.0 billion of basis swaps. Trade count totaled 494, including 1 basis swap
• €STR traded notional and trade count was $200 million and 6, respectively

Click Here to View Historical Benchmark Data

Credit Derivatives 

2019 YTD vs. 2018 YTD

• Total credit derivatives traded notional and trade count decreased by 11% and 7%, respectively
  • CDX HY traded notional and trade count decreased by 9% and 2%, respectively
  • CDX IG traded notional decreased by 1%, while trade count increased by 3%
  • iTraxx Europe traded notional and trade count decreased by 15% and 7%, respectively
• 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 decreased by 29% and 31%, respectively
  • CDX HY traded notional and trade count both decreased by 39%
  • CDX IG traded notional and trade count decreased by 27% and 26%, respectively
  • iTraxx Europe traded notional and trade count decreased by 6% and 19%, respectively
• 76% of total traded notional was cleared vs. 78% last year
• 72% of total traded notional was executed On SEF vs.75% last year