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 0.1%, respectively
    • FRAs traded notional and trade count increased by 14% and 12%, respectively
    • OIS traded notional and trade count increased by 7% and 13%, 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 decreased by 20% and 23%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 31% and 21%, respectively
    • FRAs traded notional and trade count decreased by 13% and 33%, respectively
    • OIS traded notional and trade count decreased by 7% and 16%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 60% of total traded notional was executed On SEF vs. 56% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending April 26, 2019

  • SOFR traded notional totaled $0.7 billion, including $0.1 billion of basis swaps. Trade count totaled 8, including 1 basis swap
  • SONIA traded notional totaled $100.5 billion, including $2.2 billion of basis swaps. Trade count totaled 125, including 7 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.6 billion and 2, respectively

YTD Ending April 26, 2019

  • SOFR traded notional totaled $38.7 billion, including $4.7 billion of basis swaps. Trade count totaled 134, including 38 basis swaps
  • SONIA traded notional totaled $2.1 trillion, including  $48.2 billion of basis swaps. Trade count totaled 3,603, including
  • SARON traded notional and trade count was $1.7 billion and 10, respectively
  • TONA traded notional totaled $48.5 billion, including $1.0 billion of basis swaps. Trade count totaled 153, 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 16% and 10%, respectively
    • CDX HY traded notional and trade count decreased by 22% 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 37%
  • 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 decreased by 17% and 15%, respectively
    • CDX HY traded notional and trade count decreased by 13% and 20%, respectively
    • CDX IG traded notional and trade count decreased by 26% and 24%, respectively
    • iTraxx Europe traded notional and trade count decreased by 26% and 12%, respectively
  • 78% of total traded notional was cleared vs. 84% last year
  • 74% of total traded notional was executed On SEF vs. 80% last year