Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 3%, while trade count decreased by 4%
- Fixed-for-floating IRS traded notional and trade count decreased by 6% and 8%, respectively
- FRAs traded notional and trade count increased by 21% and 14%, respectively
- OIS traded notional decreased by 6%, while trade count increased by 9%
- 89% of total traded notional was cleared vs. 88% last year
- 62% 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 decreased by 17% and 6%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 7% and 6%, respectively
- FRAs traded notional and trade count decreased by 14% and 9%, respectively
- OIS traded notional and trade count decreased by 36% and 4%, respectively
- 90% of total traded notional was cleared vs. 91% last year
- 64% of total traded notional was executed On SEF vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 1, 2019
- SOFR traded notional totaled $0.8 billion, including $0.5 billion of basis swaps. Trade count totaled 2, including 1 basis swap
- SONIA traded notional totaled $147.0 billion, including $3.0 billion of basis swaps. Trade count totaled 330, including 22 basis swaps
- There were no SARON trades
- TONA traded notional and trade count totaled $1.5 billion and 13, respectively
YTD Ending March 1, 2019
- SOFR traded notional totaled $10.0 billion, including $1.1 billion of basis swaps. Trade count totaled 51, including 12 basis swaps
- SONIA traded notional totaled $1.1 trillion, including $27.5 billion of basis swaps. Trade count totaled 2,014, including 201 basis swaps
- SARON traded notional and trade count totaled $1.1 billion and 7, respectively
- TONA traded notional totaled $20.9 billion, including $1.0 billion of basis swaps. Trade count totaled 67, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 21% and 12%, respectively
- CDX HY traded notional and trade count decreased by 26% and 15%, respectively
- CDX IG traded notional and trade count decreased by 13% and 1%, respectively
- iTraxx Europe traded notional decreased by 19%, while trade count increased by 41%
- 79% of total traded notional was cleared vs. 83% 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 32% and 26%, respectively
- CDX HY traded notional and trade count decreased by 32% and 29%, respectively
- CDX IG traded notional and trade count decreased by 43% and 35%, respectively
- iTraxx Europe traded notional decreased by 7%, while trade count increased by 43%
- 79% of total traded notional was cleared vs. 85% last year
- 78% of total traded notional was executed On SEF vs. 79% last year