Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 10% and 6%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 5% and 3%, respectively
- FRAs traded notional and trade count increased by 19% and 17%, respectively
- OIS traded notional and trade count increased by 8% and 17%, respectively
- 89% of total traded notional was cleared, flat compared with 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 37% and 16%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 4% and 6%, respectively
- FRAs traded notional and trade count increased by 61% and 39%, respectively
- OIS traded notional and trade count increased by 58% and 35%, respectively
- 90% of total traded notional was cleared vs. 88% last year
- 66% of total traded notional was executed On SEF vs. 59% last year
Interest Rate Derivatives: Benchmark Data
Week Ending April 12, 2019
- SOFR traded notional totaled $11.8 billion, including $0.6 billion of basis swaps. Trade count totaled 39, including 5 basis swaps
- SONIA traded notional totaled $115.2 billion, including $1.8 billion of basis swaps. Trade count totaled 235, including 12 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $1.2 billion and 6, respectively
YTD Ending April 12, 2019
- SOFR traded notional totaled $35.6 billion, including $4.0 billion of basis swaps. Trade count totaled 114, including 32 basis swaps
- SONIA traded notional totaled $2.0 trillion, including $45.0 billion of basis swaps. Trade count totaled 3,310, including 337 basis swaps
- SARON traded notional and trade count was $1.1 billion and 9, respectively
- TONA traded notional totaled $47.9 billion, including $1.0 billion of basis swaps. Trade count totaled 151, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 14% and 7%, respectively
- CDX HY traded notional and trade count decreased by 20% and 10%, respectively
- CDX IG traded notional decreased by 8%, while trade count increased by 0.3%
- iTraxx Europe traded notional decreased by 7%, while trade count increased by 43%
- 81% of total traded notional was cleared vs. 84% 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 21%, respectively
- CDX HY traded notional and trade count decreased by 40% and 27%, respectively
- CDX IG traded notional and trade count decreased by 15% and 17%, respectively
- iTraxx Europe traded notional and trade count decreased by 42% and 23%, respectively
- 78% of total traded notional was cleared vs. 82% last year
- 74% of total traded notional was executed On SEF vs. 79% last year