Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 3%, while trade count decreased by 2%
- Fixed-for-floating IRS traded notional and trade count decreased by 3% and 6%, respectively
- FRAs traded notional and trade count increased by 16% and 14%, respectively
- OIS traded notional decreased by 4%, 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 increased by 0.3% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 31% and 23%, respectively
- FRAs traded notional decreased by 20%, while trade count increased by 7%
- OIS traded notional and trade count increased by 12% and 11%, respectively
- 89% of total traded notional was cleared, flat compared with last year
- 58% of total traded notional was executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 8, 2019
- SOFR traded notional totaled $1.6 billion, including $1.3 billion of basis swaps. Trade count totaled 8, including 7 basis swaps
- SONIA traded notional totaled $94.9 billion, including $3.2 billion of basis swaps. Trade count totaled 149, including 14 basis swaps
- There were no SARON trades
- TONA traded notional and trade count totaled $2.5 billion and 7, respectively
YTD Ending March 8, 2019
- SOFR traded notional totaled $11.5 billion, including $2.4 billion of basis swaps. Trade count totaled 59, including 19 basis swaps
- SONIA traded notional totaled $1.2 trillion, including $30.7 billion of basis swaps. Trade count totaled 2,163, including 216 basis swaps
- SARON traded notional and trade count totaled $1.1 billion and 7, respectively
- TONA traded notional totaled $23.4 billion, including $1.0 billion of basis swaps. Trade count totaled 74, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 19% and 10%, respectively
- CDX HY traded notional and trade count decreased by 23% and 11%, respectively
- CDX IG traded notional decreased by 10%, 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. 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 increased by 7% and 13%, respectively
- CDX HY traded notional and trade count increased by 8% and 33%, respectively
- CDX IG traded notional and trade count increased by 25% and 32%, respectively
- iTraxx Europe traded notional and trade count increased by 16% and 75%, respectively
- 81% of total traded notional was cleared vs. 83% last year
- 78% of total traded notional was executed On SEF vs. 79% last year