Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 6%, while trade count decreased by 3%
- Fixed-for-floating IRS traded notional and trade count decreased by 6% and 9%, respectively
- FRAs traded notional and trade count increased by 27% and 19%, respectively
- OIS traded notional decreased by 1%, while trade count increased by 11%
- 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 both decreased by 8%
- Fixed-for-floating IRS traded notional increased by 0.5%, while trade count decreased by 9%
- FRAs traded notional and trade count decreased by 15% and 18%, respectively
- OIS traded notional and trade count increased by 1% and 23%, respectively
- 88% of total traded notional was cleared vs. 89% last year
- 58% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 22, 2019
- SOFR traded notional and trade count totaled $0.3 billion and 1, respectively
- SONIA traded notional totaled $92.4 billion, including $1.1 billion of basis swaps. Trade count totaled 260, including 16 basis swaps
- There were no SARON trades
- TONA traded notional and trade count totaled $1.2 billion and 4, respectively
YTD Ending February 22, 2019
- SOFR traded notional totaled $9.2 billion, including $0.6 billion of basis swaps. Trade count totaled 49, including 11 basis swaps
- SONIA traded notional totaled $971.5 billion, including $24.4 billion of basis swaps. Trade count totaled 1,684, including 179 basis
- SARON traded notional and trade count totaled $1.1 billion and 7, respectively
- TONA traded notional totaled $19.4 billion, including $1.0 billion of basis swaps. Trade count totaled 54, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 20% and 11%, respectively
- CDX HY traded notional and trade count decreased by 25% and 13%, respectively
- CDX IG traded notional decreased by 8%, while trade count increased by 4%
- iTraxx Europe traded notional decreased by 21%, while trade count increased by 41%
- 79% of total traded notional was cleared vs. 82% last year
- 75% 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 33% and 30%, respectively
- CDX HY traded notional and trade count decreased by 40% and 39%, respectively
- CDX IG traded notional and trade count decreased by 37% and 32%, respectively
- iTraxx Europe traded notional decreased by 35%, while trade count increased by 11%
- 77% of total traded notional was cleared vs. 87% last year
- 72% of total traded notional was executed On SEF vs. 80% last year