Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional increased by 2%, while trade count decreased by 0.2%
- Fixed-for-floating IRS traded notional and trade count decreased by 2% and 4%, respectively
- FRAs traded notional and trade count increased by 14% and 12%, respectively
- OIS traded notional decreased by 6%, while trade count increased by 7%
- 89% of total traded notional was cleared vs. 88% last year
- 61% of total traded notional was executed On SEF vs. 56% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional decreased by 6%, while trade count increased by 4%
- Fixed-for-floating IRS traded notional and trade count increased by 1% and 6%, respectively
- FRAs traded notional and trade count decreased by 9% and 24%, respectively
- OIS traded notional and trade count decreased by 16% and 4%, respectively
- 88% of total traded notional was cleared vs. 90% last year
- 55% of total traded notional was executed On SEF vs. 51% last year
Interest Rate Derivatives: Benchmark Data
Week Ending March 22, 2019
- SOFR traded notional and trade count totaled $9.0 billion and 2, respectively
- SONIA traded notional totaled $208.2 billion, including $4.9 billion of basis swaps. Trade count totaled 214, including 29 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $9.0 billion and 16, respectively
YTD Ending March 22, 2019
- SOFR traded notional totaled $21.1 billion, including $2.7 billion of basis swaps. Trade count totaled 64, including 21 basis swaps
- SONIA traded notional totaled $1.5 trillion, including $38.2 billion of basis swaps. Trade count totaled 2,590, including 268 basis swaps
- SARON traded notional and trade count totaled $1.1 billion and 8, respectively
- TONA traded notional totaled $36.9 billion, including $1.0 billion of basis swaps. Trade count totaled 97, 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 17% and 9%, respectively
- CDX HY traded notional and trade count decreased by 22% and 10%, respectively
- CDX IG traded notional decreased by 9%, while trade count increased by 1%
- iTraxx Europe traded notional decreased by 4%, while trade count increased by 56%
- 80% of total traded notional was cleared vs. 83% 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 decreased by 11%, while trade count increased by 1%
- CDX HY traded notional and trade count decreased by 19% and 6%, respectively
- CDX IG traded notional and trade count decreased by 12% and 5%, respectively
- iTraxx Europe traded notional and trade count increased by 68% and 142%, respectively
- 86% of total traded notional was cleared vs. 88% last year
- 82% of total traded notional was executed on SEF, flat compared with last year
