Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 1%, respectively
    • FRAs traded notional and trade count increased by 16% and 15%, respectively
    • OIS traded notional and trade count increased by 8% and 15%, respectively
  • 89% of total traded notional was cleared vs. 88% 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 decreased by 26% and 27%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 27% and 28%, respectively
    • FRAs traded notional and trade count decreased by 32% and 17%, respectively
    • OIS traded notional increased by 3%, while trade count decreased by 27%
  • 89% of total traded notional was cleared vs. 88% last year
  • 55% of total traded notional was executed On SEF vs. 60% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending April 19, 2019

  • SOFR traded notional totaled $2.4 billion, including $0.7 billion of basis swaps. Trade count totaled 12, including 5 basis swaps
  • SONIA traded notional totaled $102.0 billion, including $0.9 billion of basis swaps. Trade count totaled 163, including 15 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • There were no TONA trades

YTD Ending April 19, 2019

  • SOFR traded notional totaled $38.0 billion, including $4.7 billion of basis swaps. Trade count totaled 126, including 37 basis swaps
  • SONIA traded notional totaled $2.1 trillion, including $46.0 billion of basis swaps. Trade count totaled 3,478, including 357 basis swaps
  • SARON traded notional and trade count was $1.7 billion and 10, respectively
  • TONA traded notional totaled $47.9 billion, including $1.0 billion of basis swaps. Trade count totaled 151, 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 16% and 9%, respectively
    • CDX HY traded notional and trade count decreased by 22% and 12%, respectively
    • CDX IG traded notional and trade count decreased by 10% and 3%, respectively
    • iTraxx Europe traded notional decreased by 9%, while trade count increased by 39%
  • 80% of total traded notional was cleared vs. 83% 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 decreased by 50% and 44%, respectively
    • CDX HY traded notional and trade count decreased by 55% and 47%, respectively
    • CDX IG traded notional and trade count decreased by 58% and 52%, respectively
    • iTraxx Europe traded notional and trade count decreased by 51% and 44%, respectively
  • 72% of total traded notional was cleared vs. 80% last year
  • 65% of total traded notional was executed On SEF vs. 75% last year