Interest Rate Derivatives

2019 YTD vs. 2018 YTD

  • Total IRD traded notional and trade count increased by 8% and 6%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 5% and 3%, respectively
    • FRAs traded notional and trade count increased by 16% and 15%, respectively
    • OIS traded notional and trade count increased by 6% and 16%, respectively
  • 89% of total traded notional was cleared, flat compared with last year
  • 60% 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 64% and 50%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 37% and 35%, respectively
    • FRAs traded notional and trade count increased by 86% and 127%, respectively
    • OIS traded notional and trade count increased by 115% and 64%, respectively
  • 89% of total traded notional was cleared vs. 87% last year
  • 58% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending April 5, 2019

  • SOFR traded notional totaled $1.2 billion, including $0.4 billion of basis swaps. Trade count totaled 6, including 4 basis swaps
  • SONIA traded notional totaled $134.0 billion, including $2.2 billion of basis swaps. Trade count totaled 195, including 25 basis swaps
  • SARON traded notional and trade count was $30 million and 1, respectively
  • TONA traded notional and trade count was $4.6 billion and 15, respectively

YTD Ending April 5, 2019

  • SOFR traded notional totaled $23.8 billion, including $3.4 billion of basis swaps. Trade count totaled 75, including 27 basis swaps
  • SONIA traded notional totaled $1.8 trillion, including  $43.2 billion of basis swaps. Trade count totaled 3,075, including 325 basis swaps
  • SARON traded notional and trade count was $1.1 billion and 9, respectively
  • TONA traded notional totaled $46.7 billion, including $1.0 billion of basis swaps. Trade count totaled 145, including 1 basis swap

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Credit Derivatives 

2019 YTD vs. 2018 YTD

  • Total credit derivatives traded notional and trade count decreased by 13% and 7%, respectively
    • CDX HY traded notional and trade count decreased by 19% and 10%, respectively
    • CDX IG traded notional decreased by 7%, while trade count increased by 1%
    • iTraxx Europe traded notional decreased by 5%, while trade count increased by 47%
  • 81% of total traded notional was cleared vs. 84% last year
  • 77% of total traded notional was executed On SEF vs. 79% last year

2019 Current Week vs. 2018 Current Week

  • Total credit derivatives traded notional and trade count decreased by 9% and 10%, respectively
    • CDX HY traded notional and trade count decreased by 26% and 23%, respectively
    • CDX IG traded notional and trade count decreased by 25% and 24%, respectively
    • iTraxx Europe traded notional and trade count increased by 22% and 16%, respectively
  • 78% of total traded notional was cleared vs. 85% last year
  • 75% of total traded notional was executed On SEF vs. 82% last year