Dear Readers, 

Starting this September, we are tracking trade volumes for major IBORs and risk-free rates (RFRs), including SOFR, SONIA, SARON and TONA. Please see benchmark data below. This data covers only trades reported to DTCC and Bloomberg SDRs, which are required to be disclosed under US regulatory guidelines. 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 20% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively 
    • FRAs traded notional and trade count increased by 21% and 14%, respectively 
    • OIS traded notional and trade count increased by 5% and 14%, respectively 
  • 88% of total traded notional was cleared, flat compared with last year 
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count decreased by 13% and 3%, respectively 
    • Fixed-for-floating IRS traded notional and trade count increased by 21% and 5%, respectively 
    • FRAs traded notional and trade count decreased by 36% and 39%, respectively  
    • OIS traded notional and trade count decreased by 20% and 8%, respectively
  • 85% of total traded notional was cleared vs. 89% last year  
  • 54% of total traded notional was executed On SEF vs. 56% last year

 

Interest Rate Derivatives: Benchmark Data 

Week Ending September 14, 2018

  • SONIA traded notional totaled $66.7 billion, including $1.3 billion of basis swaps. Trade count totaled 150, including 11 basis swaps
  • TONA traded notional and trade count was $2.9 billion and 5, respectively
  • There were no SOFR and SARON trades

YTD Ending September 14, 2018

  • SOFR traded notional totaled $1.5 billion, including $1.4 billion of basis swaps. Trade count totaled 14, including 12 basis swaps
  • SONIA traded notional was $5.6 trillion, including  $72.0 billion of basis swaps. Trade count totaled 5,076, including 524 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 9, respectively
  • TONA traded notional totaled $62.2 billion, including $1.2 billion of basis swaps. Trade count totaled 206, including 4 basis swaps

 

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 20%, respectively
    • CDX HY traded notional and trade count increased by 38% and 17%, respectively
    • CDX IG traded notional and trade count increased by 41% and 27%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 27%, respectively 
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 4% and 14%, respectively 
    • CDX HY traded notional and trade count decreased by 15% and 14%, respectively
    • CDX IG traded notional and trade count decreased by 11% and 4%, respectively
    • iTraxx Europe  traded notional and trade count increased by 16% and 47%, respectively
  • 76% of total traded notional was cleared vs. 81% last year
  • 73% of total traded notional was executed On SEF vs. 77% last year

 

 

Dear Readers, 

Starting this September, we are tracking trade volumes for major IBORs and risk-free rates (RFRs), including SOFR, SONIA, SARON and TONA. Please see benchmark data below. This data covers only trades reported to DTCC and Bloomberg SDRs, which are required to be disclosed under US regulatory guidelines. 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively
    • FRAs traded notional and trade count increased by 24% and 16%, respectively
    • OIS traded notional and trade count increased by 6% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional decreased by 15%, while trade count increased by 1%
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 1%, respectively
    • FRAs traded notional decreased by 15%, while trade count increased by 6%
    • OIS traded notional decreased by 43%, while trade count increased 1%
  • 87% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF vs. 52% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending September 7, 2018

  • SONIA traded notional totaled $64.7 billion, including $4.1 billion of basis swaps. Trade count totaled 165, including 29 basis swaps
  • TONA traded notional and trade count was $1.8 billion and 8, respectively
  • There were no SOFR and SARON trades

YTD Ending September 7, 2018

  • SOFR traded notional totaled $1.5 billion, including $1.4 billion of basis swaps. Trade count totaled 14, including 12 basis swaps
  • SONIA traded notional was $5.6 trillion, including  $70.6 billion of basis swaps. Trade count totaled 4,926, including 513 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 9, respectively
  • TONA traded notional totaled $59.3 billion, including $1.2 billion of basis swaps. Trade count totaled 201, including 4 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 34% and 20%, respectively
    • CDX HY traded notional and trade count increased by 40% and 18%, respectively
    • CDX IG traded notional and trade count increased by 43% and 28%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 27%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased 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 10% and 3%, respectively
    • iTraxx Europe  traded notional and trade count increased by 41% and 50%, respectively
  • 82% of total traded notional was cleared vs. 84% last year
  • 78% of total traded notional was executed On SEF vs. 80% last year

 

Dear Readers, 

Starting this September, we are tracking trade volumes for major IBORs and risk-free rates (RFRs), including SOFR, SONIA, SARON and TONA. Please see benchmark data below. This data covers only trades reported to DTCC and Bloomberg SDRs, which are required to be disclosed under US regulatory guidelines. 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 23% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 16%, respectively 
    • FRAs traded notional and trade count increased by 26% and 16%, respectively 
    • OIS traded notional and trade count increased by 8% and 15%, respectively 
  • 88% of total traded notional was cleared, flat compared with last year 
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 29% and 16%, respectively 
    • Fixed-for-floating IRS traded notional and trade count increased by 20% and 16%, respectively 
    • FRAs traded notional and trade count increased by 30% and 17%, respectively 
    • OIS traded notional and trade count increased by 44% and 8%, respectively 
  • 85% of total traded notional was cleared, flat compared with last year 
  • 52% of total traded notional was executed On SEF vs. 56% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending August 31, 2018

  • SONIA traded notional totaled $143.2 billion, including $0.9 billion of basis swaps. Trade count totaled 121, including 8 basis swaps
  • TONA traded notional and trade count was $0.4 billion and 5, respectively
  • There were no SOFR and SARON trades

YTD Ending August 31, 2018

  • SOFR traded notional totaled $1.5 billion, including $1.4 billion of basis swaps. Trade count totaled 14, including 12 basis swaps
  • SONIA traded notional was $5.5 trillion, including  $66.5 billion of basis swaps. Trade count totaled 4,761, including 484 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 9, respectively
  • TONA traded notional totaled $57.5 billion, including $1.2 billion of basis swaps. Trade count totaled 193, including 4 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 34% and 21%, respectively
    • CDX HY traded notional and trade count increased by 42% and 19%, respectively
    • CDX IG traded notional and trade count increased by 44% and 29%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 27%, respectively 
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional decreased by 6%, while trade count increased by 1%, respectively 
    • CDX HY traded notional and trade count decreased by 9% and 12%, respectively
    • CDX IG traded notional and trade count decreased by 28% and 17%, respectively
    • iTraxx Europe  traded notional and trade count increased by 5% and 20%, respectively
  • 78% of total traded notional was cleared vs. 83% last year
  • 75% of total traded notional was executed On SEF vs. 80% last year

 

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 23% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 16%, respectively
    • FRAs traded notional and trade count increased by 26% and 16%, respectively
    • OIS traded notional and trade count increased by 8% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 26% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 2% and 1%, respectively
    • FRAs traded notional and trade count increased by 47% and 42%, respectively
    • OIS traded notional and trade count increased by 33% and 32%, respectively
  • 89% of total traded notional was cleared vs 86% last year
  • 64% of total traded notional was executed On SEF vs. 54% last year

 

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 35% and 21%, respectively
    • CDX HY traded notional and trade count increased by 43% and 19%, respectively
    • CDX IG traded notional and trade count increased by 46% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 27%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count decreased by 20% and 13%, respectively
    • CDX HY traded notional and trade count both decreased by 34%
    • CDX IG traded notional and trade count decreased by 27% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 10% and 36%, respectively
  • 81% of total traded notional was cleared vs. 80% last year
  • 78% of total traded notional was executed On SEF vs. 72% last year

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 23% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 26% and 16%, respectively
    • FRAs traded notional and trade count increased by 25% and 16%, respectively
    • OIS traded notional and trade count increased by 7% and 16%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 43% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 15% and 13%, respectively
    • FRAs traded notional and trade count increased by 77% and 40%, respectively
    • OIS traded notional and trade count increased by 54% and 34%, respectively
  • 90% of total traded notional was cleared vs 85% last year
  • 61% of total traded notional was executed On SEF vs. 53% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 37% and 22%, respectively
    • CDX HY traded notional and trade count increased by 45% and 21%, respectively
    • CDX IG traded notional and trade count increased by 48% and 32%, respectively
    • iTraxx Europe traded notional and trade count increased by 36% and 26%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 6% and 13%, respectively
    • CDX HY traded notional and trade count decreased by 20% and 26%, respectively
    • CDX IG traded notional and trade count decreased by 24% and 18%, respectively
    • iTraxx Europe traded notional and trade count increased by 59% and 78%, respectively
  • 80% of total traded notional was cleared vs. 82% last year
  • 75% of total traded notional was executed On SEF last year

 

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 27% and 16%, respectively
    • FRAs traded notional and trade count increased by 24% and 15%, respectively
    • OIS traded notional and trade count increased by 6% and 16%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 48% and 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 85% and 45%, respectively
    • OIS traded notional and trade count increased by 38% and 33%, respectively
  • 90% of total traded notional was cleared vs 85% last year
  • 62% of total traded notional was executed On SEF vs. 53% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 38% and 22%, respectively
    • CDX HY traded notional and trade count increased by 47% and 23%, respectively
    • CDX IG traded notional and trade count increased by 52% and 34%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 25%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count decreased by 34% and 32%, respectively
    • CDX HY traded notional and trade count decreased by 44% and 45%, respectively
    • CDX IG traded notional and trade count decreased by 36% and 38%, respectively
    • iTraxx Europe traded notional and trade count decreased by 31% and 17%, respectively
  • 81% of total traded notional was cleared vs. 82% last year
  • 77% of total traded notional was executed On SEF vs. 78% last year

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 27% and 16%, respectively
    • FRAs traded notional and trade count increased by 22% and 14%, respectively
    • OIS traded notional and trade count increased by 6% and 14%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 49% and 40%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 54% and 48%, respectively
    • FRAs traded notional increased by 13%, while trade count decreased by 3%
    • OIS traded notional and trade count increased by 108% and 69%, respectively
  • 85% of total traded notional was cleared vs 87% last year
  • 55% of total traded notional was executed On SEF vs. 62% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 41% and 23%, respectively
    • CDX HY traded notional and trade count increased by 52% and 27%, respectively
    • CDX IG traded notional and trade count increased by 57% and 38%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 23%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 28% and 36%, respectively
    • CDX HY traded notional and trade count increased by 31% and 20%, respectively
    • CDX IG traded notional and trade count increased by 5% and 14%, respectively
    • iTraxx Europe traded notional and trade count increased by 72% and 99%, respectively
  • 81% of total traded notional was cleared vs. 78% last year
  • 76% of total traded notional was executed On SEF vs. 73% last year

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 26% and 15%, respectively
    • FRAs traded notional and trade count increased by 23% and 15%, respectively
    • OIS traded notional and trade count increased by 5% and 13%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 7% and 3%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 5% and 7%, respectively
    • FRAs traded notional increased by 10%, while trade count decreased by 20%
    • OIS traded notional and trade count decreased by 11% and 6%, respectively
  • 86% of total traded notional was cleared vs 88% last year
  • 54% of total traded notional was executed On SEF vs. 56% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 41% and 23%, respectively
    • CDX HY traded notional and trade count increased by 52% and 27%, respectively
    • CDX IG traded notional and trade count increased by 59% and 38%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 22%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 21% and 19%, respectively
    • CDX HY traded notional and trade count increased by 42% and 19%, respectively
    • CDX IG traded notional and trade count increased by 5% and 13%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 46%, respectively
  • 77% of total traded notional was cleared vs. 75% last year
  • 72% of total traded notional was executed On SEF vs. 69% last year

 

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 27% and 16%, respectively
    • FRAs traded notional and trade count increased by 23% and 16%, respectively
    • OIS traded notional and trade count increased by 5% and 14%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 57% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional and trade count increased by 22% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 16% and 1%, respectively
    • FRAs traded notional and trade count increased by 38% and 24%, respectively
    • OIS traded notional and trade count decreased by 13% and 4%, respectively
  • 87% of total traded notional was cleared, flat compared with last year
  • 62% of total traded notional was executed On SEF vs. 59% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 42% and 23%, respectively
    • CDX HY traded notional and trade count increased by 53% and 27%, respectively
    • CDX IG traded notional and trade count increased by 60% and 39%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 21%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 18% and 21%, respectively
    • CDX HY traded notional and trade count increased by 27% and 0.1%, respectively
    • CDX IG traded notional and trade count increased by 36% and 35%, respectively
    • iTraxx Europe notional and trade count increased by 15% and 33%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 77% of total traded notional was executed On SEF vs. 71% last year

 

Interest Rate Derivatives 

2018 YTD vs. 2017 YTD

  • Both total IRD traded notional and trade count increased by 22% and 15%, respectively
    • Both fixed-for-floating IRS traded notional and trade count increased by 27% and 16%, respectively
    • Both FRAs traded notional and trade count increased by 23% and 16%, respectively
    • Both OIS traded notional and trade count increased by 6% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% of total traded notional was executed On SEF vs. 55% last year

2018 Current Week vs. 2017 Current Week

  • Both total IRD traded notional and trade count increased by 11% and 13%, respectively
    • Both fixed-for-floating IRS traded notional and trade count increased by 13% and 20%, respectively
    • Both FRAs traded notional and trade count decreased by 12% and 38%, respectively
    • Both OIS traded notional and trade count increased by 7% and 11%, respectively
  • 83% of total traded notional was cleared vs. 88% last year
  • 62% of total traded notional was executed On SEF vs. 56% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Both total credit derivatives traded notional and trade count increased 43% and 23%, respectively
    • Both CDX HY traded notional and trade count increased by 53% and 28%, respectively
    • Both CDX IG traded notional and trade count increased by 61% and 39%, respectively
    • Both iTraxx Europe traded notional and trade count increased by 38% and 21%, respectively
  • 84% of total traded notional was cleared vs. 79% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

2018 Current Week vs. 2017 Current Week

  • Both total credit derivatives traded notional and trade count increased by 69% and 56%, respectively
    • Both CDX HY traded notional and trade count increased by 38% and 19%, respectively
    • Both CDX IG traded notional and trade count increased by 70% and 63%, respectively
    • Both iTraxx Europe notional and trade count increased by 87% and 81%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 79% of total traded notional was executed On SEF vs. 77% last year