Interest Rate Derivatives

2019 YTD vs. 2018 YTD

• Total IRD traded notional and trade count increased by 5% and 3%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 3% and 1%, respectively
  • FRAs traded notional and trade count increased by 13% and 11%, respectively
  • OIS traded notional and trade count increased by 1% and 13%, 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 55% and 57%, respectively
  • Fixed-for-floating IRS traded notional and trade count increased by 98% and 77%, respectively
  • FRAs traded notional increased by 1%, while trade count decreased by 10%
  • OIS traded notional and trade count increased by 101% and 110%, respectively
• 88% of total traded notional was cleared vs. 91% last year
• 51% of total traded notional was executed On SEF vs. 61% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending March 29, 2019

• SOFR traded notional totaled $1.5 billion, including $0.3 billion of basis swaps. Trade count totaled 5, including 2 basis swaps
• SONIA traded notional totaled $204.4 billion, including $2.8 billion of basis swaps. Trade count totaled 290, including 32 basis swaps
• There were no SARON trades
• TONA traded notional and trade count was $5.2 billion and 33, respectively

YTD Ending March 29, 2019

• SOFR traded notional totaled $22.6 billion, including $3.0 billion of basis swaps. Trade count totaled 69, including 23 basis swaps
• SONIA traded notional totaled $1.7 trillion, including  $41.0 billion of basis swaps. Trade count totaled 2,880, including
• SARON traded notional and trade count totaled $1.1 billion and 8, respectively
• TONA traded notional totaled $42.0 billion, including $1.0 billion of basis swaps. Trade count totaled 130, 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 14% and 6%, respectively
  • CDX HY traded notional and trade count decreased by 18% and 8%, respectively
  • CDX IG traded notional decreased by 6%, while trade count increased by 3%
  • iTraxx Europe traded notional decreased by 6%, while trade count increased by 49%
• 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 both increased by 29%
  • CDX HY traded notional and trade count increased by 0.4% and 8%, respectively
  • CDX IG traded notional and trade count increased by 42% and 32%, respectively
  • iTraxx Europe traded notional and trade count increased by 82% and 77%, respectively
• 86% of total traded notional was cleared vs. 88% last year
• 82% of total traded notional was executed On SEF vs. 84% last year