Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 7% and 3%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 1% and 0.2%, respectively
    • FRAs traded notional and trade count increased by 14% and 13%, respectively
    • OIS traded notional and trade count increased by 12% and 16%, 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 increased by 20% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 5% and 0.2%, respectively
    • FRAs traded notional and trade count increased by 33% and 31%, respectively
    • OIS traded notional and trade count increased by 77% and 49%, respectively
  • 87% of total traded notional was cleared vs. 84% last year
  • 58% of total traded notional was executed On SEF vs. 55% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending May 10, 2019

  • SOFR traded notional totaled $6.4 billion, including $5.2 billion of basis swaps. Trade count totaled 23, including 12 basis swaps
  • SONIA traded notional totaled $60.0 billion, including $4.3 billion of basis swaps. Trade count totaled 153, including 14 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $1.2 billion and 4, respectively

YTD Ending May 10, 2019

  • SOFR traded notional totaled $53.4 billion, including $11.1 billion of basis swaps. Trade count totaled 173, including 56 basis swaps
  • SONIA traded notional totaled $2.3 trillion, including $54.2 billion of basis swaps. Trade count totaled 3,959, including 387 basis swaps
  • SARON traded notional and trade count was $2.3 billion and 11, respectively
  • TONA traded notional totaled $49.7 billion, including $1.0 billion of basis swaps. Trade count totaled 157, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count increased by 62% and 73%, respectively
    • CDX HY traded notional and trade count increased by 93% and 124%, respectively
    • CDX IG traded notional and trade count both increased by 82%
    • iTraxx Europe traded notional and trade count increased by 80% and 79%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 81% of total traded notional was executed On SEF vs. 75% last year