Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional increased by 6%, while trade count decreased by 3%
    • Fixed-for-floating IRS traded notional and trade count decreased by 6% and 9%, respectively
    • FRAs traded notional and trade count increased by 27% and 19%, respectively
    • OIS traded notional decreased by 1%, while trade count increased by 11%
  • 89% of total traded notional was cleared vs. 88% 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 and trade count both decreased by 8%
    • Fixed-for-floating IRS traded notional increased by 0.5%, while trade count decreased by 9%
    • FRAs traded notional and trade count decreased by 15% and 18%, respectively
    • OIS traded notional and trade count increased by 1% and 23%, respectively
  • 88% of total traded notional was cleared vs. 89% last year
  • 58% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending February 22, 2019

  • SOFR traded notional and trade count totaled $0.3 billion and 1, respectively
  • SONIA traded notional totaled $92.4 billion, including $1.1 billion of basis swaps. Trade count totaled 260, including 16 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count totaled $1.2 billion and 4, respectively

YTD Ending February 22, 2019

  • SOFR traded notional totaled $9.2 billion, including $0.6 billion of basis swaps. Trade count totaled 49, including 11 basis swaps
  • SONIA traded notional totaled $971.5 billion, including  $24.4 billion of basis swaps. Trade count totaled 1,684, including 179 basis
  • SARON traded notional and trade count totaled $1.1 billion and 7, respectively
  • TONA traded notional totaled $19.4 billion, including $1.0 billion of basis swaps. Trade count totaled 54, including 1 basis swap

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 20% and 11%, respectively
    • CDX HY traded notional and trade count decreased by 25% and 13%, respectively
    • CDX IG traded notional decreased by 8%, while trade count increased by 4%
    • iTraxx Europe traded notional decreased by 21%, while trade count increased by 41%
  • 79% of total traded notional was cleared vs. 82% last year
  • 75% 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 33% and 30%, respectively
    • CDX HY traded notional and trade count decreased by 40% and 39%, respectively
    • CDX IG traded notional and trade count decreased by 37% and 32%, respectively
    • iTraxx Europe traded notional decreased by 35%, while trade count increased by 11%
  • 77% of total traded notional was cleared vs. 87% last year
  • 72% of total traded notional was executed On SEF vs. 80% last year