Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 10% and 2%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 3% and 0.3%, respectively
- FRAs traded notional and trade count increased by 20% and 10%, respectively
- OIS traded notional and trade count increased by 5% and 21%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 62% of total traded notional was executed On SEF vs. 59% last year
- Total IRD traded notional and trade count decreased by 3% and 16%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 20% and 25%, respectively
- FRAs traded notional increased by 33% and 26%, respectively
- OIS traded notional and trade count decreased by 29% and 4%, respectively
- 89% of total traded notional was cleared vs. 87% last year
- 62% of total traded notional was executed On SEF vs. 55% last year
Interest Rate Derivatives: Benchmark Data
Week Ending January 25, 2019
- SOFR traded notional totaled $2.5 billion, including $0.2 billion of basis swaps. Trade count totaled 11, including 3 basis swaps
- SONIA traded notional totaled $80.1 billion, including $3.0 billion of basis swaps. Trade count totaled 186, including 23 basis swaps
- SARON traded notional and trade count was $0.5 billion and 3, respectively
- TONA traded notional and trade count was $2.2 billion and 9, respectively
YTD Ending January 25, 2019
- SOFR traded notional totaled $5.3 billion, including $0.2 billion of basis swaps. Trade count totaled 25, including 4 basis swaps
- SONIA traded notional totaled $511 billion, including $13.6 billion of basis swaps. Trade count totaled 856, including 89 basis swaps
- SARON traded notional and trade count was $0.9 billion and 5, respectively
- TONA traded notional totaled $10.9 billion, including $1.0 billion of basis swaps. Trade count totaled 25, including 1 basis swap
Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count increased by 29% and 45%, respectively
- CDX HY traded notional and trade count increased by 56% and 71%, respectively
- CDX IG traded notional and trade count increased by 72% and 91%, respectively
- iTraxx Europe traded notional and trade count increased by 16% and 110%, respectively
- 79% of total traded notional was cleared vs. 77% last year
- 75% of total traded notional was executed On SEF vs. 72% last year
2019 Current Week vs. 2018 Current Week
- Total credit derivatives traded notional increased by 8% and 17%, respectively
- CDX HY traded notional and trade count increased by 2% and 26%, respectively
- CDX IG traded notional and trade count increased by 27% and 43%, respectively
- iTraxx Europe traded notional and trade count increased by 4% and 90%, respectively
- 78% of total traded notional was cleared vs. 81% last year
- 74% of total traded notional was executed On SEF vs. 77% last year