Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 7% and 4%, respectively
- Fixed-for-floating IRS traded notional and trade count both increased by 1%
- FRAs traded notional and trade count increased by 15% and 14%, respectively
- OIS traded notional and trade count increased by 13% and 16%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 59% 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 16% and 19%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 45% and 40%, respectively
- FRAs traded notional and trade count decreased by 23% and 41%, respectively
- OIS traded notional and trade count increased by 69% and 34%, respectively
- 88% of total traded notional was cleared vs. 90% last year
- 55% of total traded notional was executed On SEF vs. 64% last year
Interest Rate Derivatives: Benchmark Data
Week Ending June 7, 2019
- SOFR traded notional totaled $1.0 billion, including $0.3 billion of basis swaps. Trade count totaled 15, including 2 basis swaps
- SONIA traded notional totaled $161.2 billion, including $2.3 billion of basis swaps. Trade count totaled 290, including 25 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $2.7 billion and 7, respectively
YTD Ending June 7, 2019
- SOFR traded notional totaled $91.3 billion, including $11.6 billion of basis swaps. Trade count totaled 213, including 63 basis swaps
- SONIA traded notional totaled $2.9 trillion, including $67.2 billion of basis swaps. Trade count totaled 4,877, including 507 basis swaps
- SARON traded notional and trade count was $3.0 billion and 13, respectively
- TONA traded notional totaled $55.3 billion, including $1.0 billion of basis swaps. Trade count totaled 179, including 1 basis swap
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 11%, while trade count increased by 0.1%
- CDX IG traded notional decreased by 3%, while trade count increased by 4%
- iTraxx Europe traded notional decreased by 12%, while trade count increased by 25%
- 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 6% and 14%, respectively
- CDX HY traded notional and trade count increased by 53% and 56%, respectively
- CDX IG traded notional and trade count increased by 28% and 27%, respectively
- iTraxx Europe traded notional and trade count decreased by 15% and 0.4%, respectively
- 85% of total traded notional was cleared, flat compared with last year
- 80% of total traded notional was executed On SEF vs. 82% last year