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 increased by 1% and 0.2%, respectively
- FRAs traded notional and trade count increased by 14% and 13%, respectively
- OIS traded notional and trade count increased by 12% and 16%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 60% 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 20% and 8%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 5% and 0.2%, respectively
- FRAs traded notional and trade count increased by 33% and 31%, respectively
- OIS traded notional and trade count increased by 77% and 49%, respectively
- 87% of total traded notional was cleared vs. 84% last year
- 58% of total traded notional was executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 10, 2019
- SOFR traded notional totaled $6.4 billion, including $5.2 billion of basis swaps. Trade count totaled 23, including 12 basis swaps
- SONIA traded notional totaled $60.0 billion, including $4.3 billion of basis swaps. Trade count totaled 153, including 14 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $1.2 billion and 4, respectively
YTD Ending May 10, 2019
- SOFR traded notional totaled $53.4 billion, including $11.1 billion of basis swaps. Trade count totaled 173, including 56 basis swaps
- SONIA traded notional totaled $2.3 trillion, including $54.2 billion of basis swaps. Trade count totaled 3,959, including 387 basis swaps
- SARON traded notional and trade count was $2.3 billion and 11, respectively
- TONA traded notional totaled $49.7 billion, including $1.0 billion of basis swaps. Trade count totaled 157, including 1 basis swap
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count increased by 62% and 73%, respectively
- CDX HY traded notional and trade count increased by 93% and 124%, respectively
- CDX IG traded notional and trade count both increased by 82%
- iTraxx Europe traded notional and trade count increased by 80% and 79%, respectively
- 83% of total traded notional was cleared vs. 80% last year
- 81% of total traded notional was executed On SEF vs. 75% last year