Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count decreased by 14% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 8% and 1%, respectively
    • FRAs traded notional and trade count decreased by 46% and 48%, respectively
    • OIS traded notional and trade count increased by 24% and 30%, respectively
  • 88% of total traded notional was cleared vs. 89% last year
  • 47% 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 9% and 3%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 8%, respectively
    • FRAs traded notional decreased by 44% and 47%, respectively
    • OIS traded notional and trade count increased by 33% and 38%, respectively
  • 88% of total traded notional was cleared vs. 89% last year
  • 46% of total traded notional was executed On SEF vs. 59% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending January 4, 2019

  • There were no SOFR trades
  • SONIA traded notional totaled $95.3 billion, including $5.0 billion of basis swaps. Trade count totaled 170, including 19 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.2 billion and 1, respectively

YTD Ending January 4, 2019

  • There were no SOFR trades
  • SONIA traded notional was $90.1 billion, including $5 billion of basis swaps. Trade count totaled 166, including 19 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.2 billion and 1, respectively

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count increased by 19% and 36%, respectively
    • CDX HY traded notional and trade count increased by 95% and 105%, respectively
    • CDX IG traded notional and trade count increased by 59% and 76%, respectively
    • iTraxx Europe traded notional decreased by 13%, while trade increased by 64%
  • 80% of total traded notional was cleared vs. 75% last year
  • 77% of total traded notional was executed On SEF vs. 70% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional increased by 26% and 46%, respectively
    • CDX HY traded notional and trade count increased by 110% and 120%, respectively
    • CDX IG traded notional and trade count increased by 73% and 94%, respectively
    • iTraxx Europe traded notional and trade count decreased by 8%, while trade increased by 72%
  • 80% of total traded notional was cleared vs. 75% last year
  • 78% of total traded notional was executed On SEF vs. 70% last year