Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 14% and 9%, respectively
    • Fixed-for-floating IRS traded notional and trade count both increased by 11%
    • FRAs traded notional and trade count increased by 16% and 6%, respectively
    • OIS traded notional and trade count increased by 18% and 31%, respectively
  • 90% of total traded notional was cleared vs. 89% last year
  • 62% of total traded notional was executed On SEF vs. 61% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 26% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 13% and 15%, respectively
    • FRAs traded notional and trade count increased by 66% and 35%, respectively
    • OIS traded notional decreased by 6%, while trade count increased by 11%
  • 90% of total traded notional was cleared vs. 87% last year
  • 64% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending January 18, 2019

  • SOFR traded notional and trade count was $1.5 billion and 6, respectively
  • SONIA traded notional totaled $206.3 billion, including $3.8 billion of basis swaps. Trade count totaled 262, including 24 basis swaps
  • There were no SARON trades
  • TONA traded notional totaled $6.5 billion, including $1.0 billion of basis swaps. Trade count totaled 10, including 1 basis swap

YTD Ending January 18, 2019

  • SOFR traded notional totaled $2.8 billion, including $10 million of basis swaps. Trade count totaled 14, including 1 basis swap
  • SONIA traded notional totaled $430 billion, including $10.5 billion of basis swaps. Trade count totaled 669, including 66 basis swaps
  • SARON traded notional and trade count was $0.4 billion and 2, respectively
  • TONA traded notional totaled $8.7 billion, including $1.0 billion of basis swaps. Trade count totaled 16, including 1 basis swap

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count increased by 37% and 55%, respectively
    • CDX HY traded notional and trade count increased by 71% and 85%, respectively
    • CDX IG traded notional and trade count increased by 90% and 109%, respectively
    • iTraxx Europe traded notional increased by 20% and 117%, respectively
  • 80% of total traded notional was cleared vs. 76% last year
  • 76% of total traded notional was executed On SEF vs. 70% last year

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional increased by 50% and 61%, respectively
    • CDX HY traded notional and trade count increased by 56% and 68%, respectively
    • CDX IG traded notional and trade count increased by 100% and 117%, respectively
    • iTraxx Europe traded notional increased by 35% and 143%, respectively
  • 79% of total traded notional was cleared vs. 78% last year
  • 73% of total traded notional was executed On SEF vs. 69% last year