Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 3%, respectively
    • Fixed-for-floating IRS traded notional increased by 0.4%, while trade count decreased by 0.5%
    • FRAs traded notional and trade count both increased by 17%
    • OIS traded notional and trade count increased by 14% and 17%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 59% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 12% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 6% and 5%, respectively
    • FRAs traded notional and trade count increased by 56% and 78%, respectively
    • OIS traded notional and trade count increased by 8% and 10%, respectively
  • 91% of total traded notional was cleared vs. 88% last year
  • 59% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending May 24, 2019

  • SOFR traded notional and trade count was $11.4 billion and 4, respectively
  • SONIA traded notional totaled $267.1 billion, including $4.3 billion of basis swaps. Trade count totaled 199, including 17 basis swaps
  • SARON traded notional and trade count was $0.7 billion and 2, respectively
  • TONA traded notional and trade count was $0.6 billion and 4, respectively

YTD Ending May 24, 2019

  • SOFR traded notional totaled $68.9 billion, including $11.2 billion of basis swaps. Trade count totaled 187, including 59 basis swaps
  • SONIA traded notional totaled $2.7 trillion, including $63.5 billion of basis swaps. Trade count totaled 4,421, including 465 basis swaps
  • SARON traded notional and trade count was $3.0 billion and 13, respectively
  • TONA traded notional totaled $51.6 billion, including $1.0 billion of basis swaps. Trade count totaled 167, 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 12% and 5%, respectively
    • CDX HY traded notional and trade count decreased by 13% and 3%, respectively
    • CDX IG traded notional decreased by 4%, while trade count increased by 3%
    • iTraxx Europe traded notional decreased by 8%, while trade count increased by 33%
  • 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 29% and 13%, respectively
    • CDX HY traded notional and trade count increased by 17% and 40%, respectively
    • CDX IG traded notional and trade count increased by 3% and 9%, respectively
    • iTraxx Europe traded notional and trade count decreased by 45% and 27%, respectively
  • 82% of total traded notional was cleared vs. 83% last year
  • 80% of total traded notional was executed On SEF vs. 79% last year