Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 7% and 3%, respectively
    • Fixed-for-floating IRS traded notional increased by 1%, while trade count decreased by 0.3%
    • FRAs traded notional and trade count both increased by 15%
    • OIS traded notional and trade count increased by 14% and 17%, respectively
  • 89% of total traded notional was cleared vs. 88% 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 23% and 5%, respectively
    • Fixed-for-floating IRS traded notional increased by 0.1%, while trade count decreased by 7%
    • FRAs traded notional and trade count increased by 46% and 52%, respectively
    • OIS traded notional and trade count increased by 48% and 41%, respectively
  • 89% of total traded notional was cleared vs. 87% last year
  • 58% of total traded notional was executed On SEF vs. 53% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending May 17, 2019

  • SOFR traded notional totaled $4.0 billion, including $0.2 billion of basis swaps. Trade count totaled 10, including 3 basis swaps
  • SONIA traded notional totaled $74.4 billion, including $5.1 billion of basis swaps. Trade count totaled 262, including 60 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $1.3 billion and 6, respectively

YTD Ending May 17, 2019

  • SOFR traded notional totaled $57.4 billion, including $11.2 billion of basis swaps. Trade count totaled 183, including 59 basis swaps
  • SONIA traded notional totaled $2.5 trillion, including $59.2 billion of basis swaps. Trade count totaled 4,221, including 447 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 11, respectively
  • TONA traded notional totaled $51.0 billion, including $1.0 billion of basis swaps. Trade count totaled 163, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 11% and 4%, respectively
    • CDX HY traded notional and trade count decreased by 14% and 4%, respectively
    • CDX IG traded notional decreased by 5%, while trade count increased by 3%
    • iTraxx Europe traded notional decreased by 5%, while trade count increased by 38%
  • 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 increased by 32% and 34%, respectively
    • CDX HY traded notional and trade count increased by 65% and 76%, respectively
    • CDX IG traded notional and trade count increased by 73% and 77%, respectively
    • iTraxx Europe traded notional and trade count increased by 29% and 63%, respectively
  • 81% of total traded notional was cleared vs. 78% last year
  • 77% of total traded notional was executed On SEF vs. 72% last year