Interest Rate Derivatives

2019 YTD vs. 2018 YTD

• Total IRD traded notional and trade count increased by 11% and 14%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 3% and 12%, respectively
  • FRAs traded notional and trade count increased by 14% and 19%, respectively
  • OIS traded notional and trade count increased by 26% and 29%, 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 21%, while trade count increased by 4%
  • Fixed-for-floating IRS traded notional decreased by 18%, while trade count increased by 2%
  • FRAs traded notional decreased by 21%, while trade count increased by 8%
  • OIS traded notional decreased by 24%, while trade count increased by 11%
• 89% of total traded notional was cleared vs. 90% last year
• 52% of total traded notional was executed On SEF vs. 49% last year

Interest Rate Derivatives: Benchmark Data

Week Ending November 15, 2019

• SOFR traded notional totaled $15.1 billion, including $11.0 billion of basis swaps. Trade count totaled 36, including 15 basis swaps
• SONIA traded notional totaled $169.5 billion, including $1.0 billion of basis swaps. Trade count totaled 201, including 13 basis swaps
• SARON traded notional and trade count was $20 million and 1, respectively
• TONA traded notional and trade count was $10.7 billion and 15, respectively

YTD Ending November 15, 2019

• SOFR traded notional totaled $295.5 billion, including $119.3 billion of basis swaps. Trade count totaled 1,025, including 357 basis swaps
• SONIA traded notional totaled $6.8 trillion, including $122.8 billion of basis swaps. Trade count totaled 10,970, including 1,004 basis swaps
• SARON traded notional and trade count was $21.7 billion and 55, respectively
• TONA traded notional totaled $212.9 billion, including $1.0 billion of basis swaps. Trade count totaled 457, including 1 basis swap
• €STR traded notional and trade count was $100 million and 1, 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 8% and 4%, respectively
  • CDX HY traded notional decreased by 5%, while trade count increased by 3%
  • CDX IG traded notional and trade count increased by 3% and 8%, respectively
  • iTraxx Europe traded notional and trade count decreased by 14% and 5%, respectively
• 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 60% and 55%, respectively
  • CDX HY traded notional and trade count decreased by 68% and 62%, respectively
  • CDX IG traded notional and trade count decreased by 67% and 59%, respectively
  • iTraxx Europe traded notional and trade count decreased by 40% and 41%, respectively
• 77% of total traded notional was cleared vs. 82% last year
• 73% of total traded notional was executed On SEF vs. 78% last year