Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 10% and 2%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 0.3%, respectively
    • FRAs traded notional and trade count increased by 20% and 10%, respectively
    • OIS traded notional and trade count increased by 5% and 21%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 62% of total traded notional was executed On SEF vs. 59% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count decreased by 3% and 16%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 20% and 25%, respectively
    • FRAs traded notional increased by 33% and 26%, respectively
    • OIS traded notional and trade count decreased by 29% and 4%, respectively
  • 89% of total traded notional was cleared vs. 87% last year
  • 62% of total traded notional was executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending January 25, 2019

  • SOFR traded notional totaled $2.5 billion, including $0.2 billion of basis swaps. Trade count totaled 11, including 3 basis swaps
  • SONIA traded notional totaled $80.1 billion, including $3.0 billion of basis swaps. Trade count totaled 186, including 23 basis swaps
  • SARON traded notional and trade count was $0.5 billion and 3, respectively
  • TONA traded notional and trade count was $2.2 billion and 9, respectively

YTD Ending January 25, 2019

  • SOFR traded notional totaled $5.3 billion, including $0.2 billion of basis swaps. Trade count totaled 25, including 4 basis swaps
  • SONIA traded notional totaled $511 billion, including  $13.6 billion of basis swaps. Trade count totaled 856, including 89 basis swaps
  • SARON traded notional and trade count was $0.9 billion and 5, respectively
  • TONA traded notional totaled $10.9 billion, including $1.0 billion of basis swaps. Trade count totaled 25, including 1 basis swap

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count increased by 29% and 45%, respectively
    • CDX HY traded notional and trade count increased by 56% and 71%, respectively
    • CDX IG traded notional and trade count increased by 72% and 91%, respectively
    • iTraxx Europe traded notional and trade count increased by 16% and 110%, respectively
  • 79% of total traded notional was cleared vs. 77% last year
  • 75% of total traded notional was executed On SEF vs. 72% last year

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional increased by 8% and 17%, respectively
    • CDX HY traded notional and trade count increased by 2% and 26%, respectively
    • CDX IG traded notional and trade count increased by 27% and 43%, respectively
    • iTraxx Europe traded notional and trade count increased by 4% and 90%, respectively
  • 78% of total traded notional was cleared vs. 81% last year
  • 74% of total traded notional was executed On SEF vs. 77% last year