Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 6% and 3%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 1% and 0.2%, respectively
    • FRAs traded notional and trade count both increased by 13%
    • OIS traded notional and trade count increased by 10% and 14%, 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 9% and 7%, respectively
    • Fixed-for-floating IRS traded notional decreased by 0.1%, while trade count increased by 3%
    • FRAs traded notional decreased by 11%, while trade count increased by 23%
    • OIS traded notional and trade count increased by 64% and 38%, respectively
  • 88% of total traded notional was cleared vs. 89% last year
  • 52% of total traded notional was executed On SEF vs. 56% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending May 3, 2019

  • SOFR traded notional totaled $8.3 billion, including $1.1 billion of basis swaps. Trade count totaled 16, including 6 basis swaps
  • SONIA traded notional totaled $155.8 billion, including $1.7 billion of basis swaps. Trade count totaled 202, including 8 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • There were no TONA trades

YTD Ending May 3, 2019

  • SOFR traded notional totaled $47.0 billion, including $5.9 billion of basis swaps. Trade count totaled 150, including 44 basis swaps
  • SONIA traded notional totaled $2.3 trillion, including $49.9 billion of basis swaps. Trade count totaled 3,806, including 373 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 11, respectively
  • TONA traded notional totaled $48.5 billion, including $1.0 billion of basis swaps. Trade count totaled 153, 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 16% and 10%, respectively
    • CDX HY traded notional and trade count decreased by 21% and 13%, respectively
    • CDX IG traded notional and trade count decreased by 11% and 4%, respectively
    • iTraxx Europe traded notional decreased by 9%, while trade count increased by 35%
  • 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 both decreased by 14%
    • CDX HY traded notional and trade count decreased by 14% and 10%, respectively
    • CDX IG traded notional and trade count decreased by 7% and 5%, respectively
    • iTraxx Europe traded notional and trade count decreased by 15% and 11%, respectively
  • 79% of total traded notional was cleared vs. 83% last year
  • 76% of total traded notional was executed On SEF vs. 79% last year