Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional increased by 8%, while trade count decreased by 3%
    • Fixed-for-floating IRS traded notional and trade count decreased by 7% and 9%, respectively
    • FRAs traded notional and trade count increased by 32% and 23%, respectively
    • OIS traded notional decreased by 1%, while trade count increased by 10%
  • 89% of total traded notional was cleared vs. 87% last year
  • 62% of total traded notional was executed On SEF vs. 57% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional increased by 12%, while trade count decreased by 5%
    • Fixed-for-floating IRS traded notional and trade count decreased by 21% and 18%, respectively
    • FRAs traded notional and trade count increased by 102% and 77%, respectively
    • OIS traded notional and trade count decreased by 22% and 12%, respectively
  • 90% of total traded notional was cleared vs. 86% last year
  • 67% of total traded notional was executed On SEF vs. 53% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending February 15, 2019

  • SOFR traded notional totaled $0.7 billion, including $0.3 billion of basis swaps. Trade count totaled 8, including 6 basis swaps
  • SONIA traded notional totaled $68.3 billion, including $3 billion of basis swaps. Trade count totaled 170, including 29 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count totaled $1.9 billion and 5, respectively

YTD Ending February 15, 2019

  • SOFR traded notional totaled $9.0 billion, including $0.6 billion of basis swaps. Trade count totaled 48, including 11 basis swaps
  • SONIA traded notional totaled $879.0 billion, including  $23.3 billion of basis swaps. Trade count totaled 1,424, including 163 basis swaps
  • SARON traded notional and trade count totaled $1.1 billion and 7, respectively
  • TONA traded notional totaled $18.1 billion, including $1.0 billion of basis swaps. Trade count totaled 50, including 1 basis swap

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 18% and 8%, respectively
    • CDX HY traded notional and trade count decreased by 23% and 10%, respectively
    • CDX IG traded notional decreased by 4%, while trade count increased by 10%
    • iTraxx Europe traded notional decreased by 18%, while trade count increased by 46%
  • 79% of total traded notional was cleared vs. 82% last year
  • 76% of total traded notional was executed On SEF vs. 78% last year

 

 

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional and trade count decreased by 50% and 43%, respectively
    • CDX HY traded notional and trade count decreased by 57% and 49%, respectively
    • CDX IG traded notional and trade count decreased by 43% and 35%, respectively
    • iTraxx Europe traded notional and trade count decreased by 53% and 10%, respectively
  • 80% of total traded notional was cleared vs. 86% last year
  • 78% of total traded notional was executed On SEF vs. 82% last year