Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 5% and 3%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 3% and 1%, respectively
- FRAs traded notional and trade count increased by 13% and 11%, respectively
- OIS traded notional and trade count increased by 1% and 13%, 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 55% and 57%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 98% and 77%, respectively
- FRAs traded notional increased by 1%, while trade count decreased by 10%
- OIS traded notional and trade count increased by 101% and 110%, respectively
- 88% of total traded notional was cleared vs. 91% last year
- 51% of total traded notional was executed On SEF vs. 61% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 29, 2019
- SOFR traded notional totaled $1.5 billion, including $0.3 billion of basis swaps. Trade count totaled 5, including 2 basis swaps
- SONIA traded notional totaled $204.4 billion, including $2.8 billion of basis swaps. Trade count totaled 290, including 32 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $5.2 billion and 33, respectively
YTD Ending March 29, 2019
- SOFR traded notional totaled $22.6 billion, including $3.0 billion of basis swaps. Trade count totaled 69, including 23 basis swaps
- SONIA traded notional totaled $1.7 trillion, including $41.0 billion of basis swaps. Trade count totaled 2,880, including
- SARON traded notional and trade count totaled $1.1 billion and 8, respectively
- TONA traded notional totaled $42.0 billion, including $1.0 billion of basis swaps. Trade count totaled 130, 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 14% and 6%, respectively
- CDX HY traded notional and trade count decreased by 18% and 8%, respectively
- CDX IG traded notional decreased by 6%, while trade count increased by 3%
- iTraxx Europe traded notional decreased by 6%, while trade count increased by 49%
- 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 both increased by 29%
- CDX HY traded notional and trade count increased by 0.4% and 8%, respectively
- CDX IG traded notional and trade count increased by 42% and 32%, respectively
- iTraxx Europe traded notional and trade count increased by 82% and 77%, respectively
- 86% of total traded notional was cleared vs. 88% last year
- 82% of total traded notional was executed On SEF vs. 84% last year