Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 10% and 6%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 5% and 3%, respectively
    • FRAs traded notional and trade count increased by 19% and 17%, respectively
    • OIS traded notional and trade count increased by 8% and 17%, respectively
  • 89% of total traded notional was cleared, flat compared with last year
  • 60% 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 increased by 37% and 16%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 4% and 6%, respectively
    • FRAs traded notional and trade count increased by 61% and 39%, respectively
    • OIS traded notional and trade count increased by 58% and 35%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 66% of total traded notional was executed On SEF vs. 59% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending April 12, 2019

  • SOFR traded notional totaled $11.8 billion, including $0.6 billion of basis swaps. Trade count totaled 39, including 5 basis swaps
  • SONIA traded notional totaled $115.2 billion, including $1.8 billion of basis swaps. Trade count totaled 235, including 12 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $1.2 billion and 6, respectively

YTD Ending April 12, 2019

  • SOFR traded notional totaled $35.6 billion, including $4.0 billion of basis swaps. Trade count totaled 114, including 32 basis swaps
  • SONIA traded notional totaled $2.0 trillion, including $45.0 billion of basis swaps. Trade count totaled 3,310, including 337 basis swaps
  • SARON traded notional and trade count was $1.1 billion and 9, respectively
  • TONA traded notional totaled $47.9 billion, including $1.0 billion of basis swaps. Trade count totaled 151, 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 14% and 7%, respectively
    • CDX HY traded notional and trade count decreased by 20% and 10%, respectively
    • CDX IG traded notional decreased by 8%, while trade count increased by 0.3%
    • iTraxx Europe traded notional decreased by 7%, while trade count increased by 43%
  • 81% of total traded notional was cleared vs. 84% 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 21%, respectively
    • CDX HY traded notional and trade count decreased by 40% and 27%, respectively
    • CDX IG traded notional and trade count decreased by 15% and 17%, respectively
    • iTraxx Europe traded notional and trade count decreased by 42% and 23%, respectively
  • 78% of total traded notional was cleared vs. 82% last year
  • 74% of total traded notional was executed On SEF vs. 79% last year