Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 8%, while trade count decreased by 3%
- Fixed-for-floating IRS traded notional and trade count decreased by 7% and 9%, respectively
- FRAs traded notional and trade count increased by 32% and 23%, respectively
- OIS traded notional decreased by 1%, while trade count increased by 10%
- 89% of total traded notional was cleared vs. 87% 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 increased by 12%, while trade count decreased by 5%
- Fixed-for-floating IRS traded notional and trade count decreased by 21% and 18%, respectively
- FRAs traded notional and trade count increased by 102% and 77%, respectively
- OIS traded notional and trade count decreased by 22% and 12%, respectively
- 90% of total traded notional was cleared vs. 86% last year
- 67% of total traded notional was executed On SEF vs. 53% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 15, 2019
- SOFR traded notional totaled $0.7 billion, including $0.3 billion of basis swaps. Trade count totaled 8, including 6 basis swaps
- SONIA traded notional totaled $68.3 billion, including $3 billion of basis swaps. Trade count totaled 170, including 29 basis swaps
- There were no SARON trades
- TONA traded notional and trade count totaled $1.9 billion and 5, respectively
YTD Ending February 15, 2019
- SOFR traded notional totaled $9.0 billion, including $0.6 billion of basis swaps. Trade count totaled 48, including 11 basis swaps
- SONIA traded notional totaled $879.0 billion, including $23.3 billion of basis swaps. Trade count totaled 1,424, including 163 basis swaps
- SARON traded notional and trade count totaled $1.1 billion and 7, respectively
- TONA traded notional totaled $18.1 billion, including $1.0 billion of basis swaps. Trade count totaled 50, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 18% and 8%, respectively
- CDX HY traded notional and trade count decreased by 23% and 10%, respectively
- CDX IG traded notional decreased by 4%, while trade count increased by 10%
- iTraxx Europe traded notional decreased by 18%, while trade count increased by 46%
- 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 50% and 43%, respectively
- CDX HY traded notional and trade count decreased by 57% and 49%, respectively
- CDX IG traded notional and trade count decreased by 43% and 35%, respectively
- iTraxx Europe traded notional and trade count decreased by 53% and 10%, respectively
- 80% of total traded notional was cleared vs. 86% last year
- 78% of total traded notional was executed On SEF vs. 82% last year