Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 6%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 10% and 9%, respectively
    • FRAs traded notional and trade count decreased by 2% and 8%, respectively
    • OIS traded notional and trade count increased by 33% and 44%, respectively
  • 89% of total traded notional was cleared, flat vs. last year
  • 61% of total traded notional was executed On SEF vs. 64% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 23% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 12% and 13%, respectively
    • FRAs traded notional increased by 24% and 11%, respectively
    • OIS traded notional and trade count increased by 42% and 54%, respectively
  • 90% of total traded notional was cleared vs. 89% last year
  • 68% of total traded notional was executed On SEF vs. 67% last year

 

Interest Rate Derivatives: Benchmark Data 

Week Ending January 11, 2019

  • SOFR basis swaps traded notional totaled $1.3 billion, including $10 million of basis swaps. Trade count totaled 8, including 1 basis swap
  • SONIA traded notional totaled $131.4 billion, including $1.7 billion of basis swaps. Trade count totaled 240, including 23 basis swaps
  • SARON traded notional and trade count was $0.4 billion and 2, respectively
  • TONA traded notional and trade count was $2.0 billion and 5, respectively

YTD Ending January 11, 2019

  • SOFR basis swaps traded notional totaled $1.3 billion, including $10 million of basis swaps. Trade count totaled 8, including 1 basis swap
  • SONIA traded notional totaled $222 billion, including $6.7 billion of basis swaps. Trade count totaled 406, including 42 basis swaps
  • SARON traded notional and trade count was $0.4 billion and 2, respectively
  • TONA traded notional and trade count was $2.2 billion and 6, respectively

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count increased by 30% and 51%, respectively
    • CDX HY traded notional and trade count increased by 79% and 94%, respectively
    • CDX IG traded notional and trade count increased by 85% and 105%, respectively
    • iTraxx Europe traded notional increased by 12% and 104%, respectively
  • 80% of total traded notional was cleared vs. 76% last year
  • 77% of total traded notional was executed On SEF vs. 71% last year

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional increased by 38% and 62%, respectively
    • CDX HY traded notional and trade count increased by 69% and 86%, respectively
    • CDX IG traded notional and trade count increased by 106% and 127%, respectively
    • iTraxx Europe traded notional increased by 34% and 138%, respectively
  • 81% of total traded notional was cleared vs. 76% last year
  • 77% of total traded notional was executed On SEF vs. 72% last year