Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 8%, while trade count decreased by 1%
- Fixed-for-floating IRS traded notional and trade count decreased by 0.08% and 4%, respectively
- FRAs traded notional and trade count increased by 19% and 10%, respectively
- OIS traded notional and trade count increased by 5% and 17%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 61% of total traded notional was executed On SEF vs. 59% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional increased by 1%, while trade count decreased by 12%
- Fixed-for-floating IRS traded notional and trade count decreased by 10% and 16%, respectively
- FRAs traded notional increased by 14% and 7%, respectively
- OIS traded notional and trade count increased by 6% and 3%, respectively
- 90% of total traded notional was cleared vs. 87% last year
- 58% of total traded notional was executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending February 1, 2019
- SOFR traded notional and trade count totaled $1.8 billion and 8, respectively
- SSONIA traded notional totaled $100.7 billion, including $3.8 billion of basis swaps. Trade count totaled 140, including 22 basis swaps
- SARON traded notional and trade count totaled $0.1 billion and 1, respectively
- TONA traded notional and trade count totaled $0.8 billion and 5, respectively
YTD Ending February 1, 2019
- SOFR traded notional totaled $7.1 billion, including $0.2 billion of basis swaps. Trade count totaled 33, including 4 basis swaps
- SONIA traded notional totaled $610 billion, including $17.1 billion of basis swaps. Trade count totaled 995, including 110 basis swaps
- SARON traded notional and trade count totaled $1.0 billion and 6, respectively
- TONA traded notional totaled $12 billion, including $1.0 billion of basis swaps. Trade count totaled 30, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count increased by 22% and 32%, respectively
- CDX HY traded notional and trade count increased by 25% and 41%, respectively
- CDX IG traded notional and trade count increased by 57% and 70%, respectively
- iTraxx Europe traded notional and trade count increased by 18% and 108%, respectively
- 79% of total traded notional was cleared, flat compared with last year
- 75% of total traded notional was executed On SEF vs. 74% last year
2019 Current Week vs. 2018 Current Week
- Total credit derivatives traded notional increased by 1%, while trade count decreased by 0.2%
- CDX HY traded notional and trade count decreased by 33% and 18%, respectively
- CDX IG traded notional and trade count both increased by 21%
- iTraxx Europe traded notional and trade count increased by 30% and 102%, respectively
- 78% of total traded notional was cleared vs. 82% last year
- 75% of total traded notional was executed On SEF vs. 79% last year