Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 2%, while trade count decreased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 3% and 4%, respectively
- FRAs traded notional and trade count both increased by 15%
- OIS traded notional decreased by 5%, while trade count increased by 9%
- 89% of total traded notional was cleared vs. 88% last year
- 61% of total traded notional was executed On SEF vs. 57% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional decreased by 1%, while trade count increased by 10%
- Fixed-for-floating IRS traded notional and trade count increased by 1% and 7%, respectively
- FRAs traded notional and trade count increased by 8% and 28%, respectively
- OIS traded notional decreased by 12%, while trade count increased by 2%
- 88% of total traded notional was cleared vs. 89% last year
- 60% of total traded notional was executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 15, 2019
- SOFR traded notional totaled $0.6 billion, including $0.3 billion of basis swaps. Trade count totaled 3, including 2 basis swaps
- SONIA traded notional totaled $90.1 billion, including $2.6 billion of basis swaps. Trade count totaled 213, including 23 basis swaps
- SARON traded notional and trade count totaled $19 million and 1, respectively
- TONA traded notional and trade count was $4.0 billion and 6, respectively
YTD Ending March 15, 2019
- SOFR traded notional totaled $12.1 billion, including $2.7 billion of basis swaps. Trade count totaled 62, including 21 basis swaps
- SONIA traded notional totaled $1.3 trillion, including $33.3 billion of basis swaps. Trade count totaled 2,376, including 239 basis swaps
- SARON traded notional and trade count totaled $1.1 billion and 8, respectively
- TONA traded notional totaled $27.5 billion, including $1.0 billion of basis swaps. Trade count totaled 80, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 18% and 10%, respectively
- CDX HY traded notional and trade count decreased by 23% and 11%, respectively
- CDX IG traded notional decreased by 9%, while trade count increased by 2%
- iTraxx Europe traded notional decreased by 16%, while trade count increased by 44%
- 79% of total traded notional was cleared vs. 82% last year
- 76% of total traded notional was executed On SEF vs. 78% last year
2019 Current Week vs. 2018 Current Week
- Total credit derivatives traded notional and trade count decreased by 13% and 12%, respectively
- CDX HY traded notional and trade count decreased by 16% and 5%, respectively
- CDX IG traded notional decreased by 0.3%, while trade count increased by 3%
- iTraxx Europe traded notional decreased by 9%, while trade count increased by 39%
- 76% of total traded notional was cleared vs. 79% last year
- 73% of total traded notional was executed On SEF vs. 76% last year