Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 5%, respectively
    • Fixed-for-floating IRS traded notional and trade count both increased by 2%
    • FRAs traded notional and trade count increased by 17% and 18%, respectively
    • OIS traded notional and trade count increased by 14% and 16%, respectively
  • 89% of total traded notional was cleared vs. 88% last year
  • 59% of total traded notional was executed On SEF vs. 56% last year

2019 Current Week vs. 2018 Current Week

  • Total IRD traded notional and trade count increased by 28% and 29%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 3% and 17%, respectively
    • FRAs traded notional and trade count increased by 87% and 137%, respectively
    • OIS traded notional and trade count increased by 17% and 11%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 60% of total traded notional was executed On SEF vs. 53% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending June 14, 2019

  • SOFR traded notional totaled $3.3 billion, including $0.3 billion of basis swaps. Trade count totaled 17, including 4 basis swaps
  • SONIA traded notional totaled $162.5 billion, including $1.2 billion of basis swaps. Trade count totaled 275, including 17 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $5.4 billion and 11, respectively

YTD Ending June 14, 2019

  • SOFR traded notional totaled $94.6 billion, including $11.9 billion of basis swaps. Trade count totaled 230, including 67 basis swaps
  • SONIA traded notional totaled $3.1 trillion, including $68.4 billion of basis swaps. Trade count totaled 5,152, including 524 basis swaps
  • SARON traded notional and trade count was $3.0 billion and 13, respectively
  • TONA traded notional totaled $60.7 billion, including $1.0 billion of basis swaps. Trade count totaled 190, including 1 basis swap

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 12% and 5%, respectively
    • CDX HY traded notional decreased by 10%, while trade count increased by 1%
    • CDX IG traded notional decreased by 2%, while trade count increased by 5%
    • iTraxx Europe traded notional decreased by 13%, while trade count increased by 22%
  • 81% 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 increased by 13% and 7%, respectively
    • CDX HY traded notional and trade count increased by 26% and 24%, respectively
    • CDX IG traded notional and trade count increased by 9% and 15%, respectively
    • iTraxx Europe traded notional and trade count decreased by 38% and 24%, respectively
  • 79% of total traded notional was cleared vs. 84% last year
  • 77% of total traded notional was executed On SEF vs. 81% last year