Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 8% and 3%, respectively
- Fixed-for-floating IRS traded notional increased by 0.4%, while trade count decreased by 0.5%
- FRAs traded notional and trade count both increased by 17%
- OIS traded notional and trade count increased by 14% and 17%, 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 12% and 4%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 6% and 5%, respectively
- FRAs traded notional and trade count increased by 56% and 78%, respectively
- OIS traded notional and trade count increased by 8% and 10%, respectively
- 91% of total traded notional was cleared vs. 88% last year
- 59% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 24, 2019
- SOFR traded notional and trade count was $11.4 billion and 4, respectively
- SONIA traded notional totaled $267.1 billion, including $4.3 billion of basis swaps. Trade count totaled 199, including 17 basis swaps
- SARON traded notional and trade count was $0.7 billion and 2, respectively
- TONA traded notional and trade count was $0.6 billion and 4, respectively
YTD Ending May 24, 2019
- SOFR traded notional totaled $68.9 billion, including $11.2 billion of basis swaps. Trade count totaled 187, including 59 basis swaps
- SONIA traded notional totaled $2.7 trillion, including $63.5 billion of basis swaps. Trade count totaled 4,421, including 465 basis swaps
- SARON traded notional and trade count was $3.0 billion and 13, respectively
- TONA traded notional totaled $51.6 billion, including $1.0 billion of basis swaps. Trade count totaled 167, 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 and trade count decreased by 13% and 3%, respectively
- CDX IG traded notional decreased by 4%, while trade count increased by 3%
- iTraxx Europe traded notional decreased by 8%, while trade count increased by 33%
- 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 29% and 13%, respectively
- CDX HY traded notional and trade count increased by 17% and 40%, respectively
- CDX IG traded notional and trade count increased by 3% and 9%, respectively
- iTraxx Europe traded notional and trade count decreased by 45% and 27%, respectively
- 82% of total traded notional was cleared vs. 83% last year
- 80% of total traded notional was executed On SEF vs. 79% last year