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
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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