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 both decreased by 1%
    • FRAs traded notional and trade count increased by 18% and 19%, respectively
    • OIS traded notional and trade count increased by 11% and 15%, 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 decreased by 9% and 1%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 17% and 8%, respectively
    • FRAs traded notional and trade count increased by 63% and 130%, respectively
    • OIS traded notional and trade count decreased by 34% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 52% of total traded notional was executed On SEF vs. 51% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending May 31, 2019

  • SOFR traded notional totaled $21.4 billion, including $0.1 billion of basis swaps. Trade count totaled 11, including 2 basis swaps
  • SONIA traded notional totaled $51.3 billion, including $1.4 billion of basis swaps. Trade count totaled 166, including 17 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $1.0 billion and 5, respectively

YTD Ending May 31, 2019

  • SOFR traded notional totaled $90.3 billion, including $11.3 billion of basis swaps. Trade count totaled 198, including 61 basis swaps
  • SONIA traded notional totaled $2.8 trillion, including $64.9 billion of basis swaps. Trade count totaled 4,587, including 482 basis swaps
  • SARON traded notional and trade count was $3.0 billion and 13, respectively
  • TONA traded notional totaled $52.6 billion, including $1.0 billion of basis swaps. Trade count totaled 172, 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 13% and 6%, respectively
    • CDX HY traded notional and trade count decreased by 13% and 2%, respectively
    • CDX IG traded notional decreased by 4%, while trade count increased by 3%
    • iTraxx Europe traded notional decreased by 11%, while trade count increased by 26%
  • 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 decreased by 26% and 21%, respectively
    • CDX HY traded notional decreased by 6%, while trade count increased by 9%
    • CDX IG traded notional and trade count increased by 7% and 13%, respectively
    • iTraxx Europe traded notional and trade count decreased by 53% and 44%, respectively
  • 83% of total traded notional was cleared vs. 88% last year
  • 79% of total traded notional was executed On SEF vs. 84% last year