Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
    • FRAs traded notional and trade count increased by 23% and 13%, 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 43% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 15% and 4%, respectively
    • FRAs traded notional and trade count increased by 68% and 29%, respectively
    • OIS traded notional and trade count increased by 58% and 41%, respectively
  • 88% of total traded notional was cleared vs. 84% last year
  • 54% of total traded notional was executed On SEF, flat with last year

Interest Rate Derivatives: Benchmark Data 

Week Ending October 26, 2018

  • SOFR traded notional and trade count totaled $0.1 million and 1, respectively
  • SONIA traded notional totaled $132.1 billion, including $14.0 billion of basis swaps. Trade count totaled 182, including 35 basis swaps
  • There were no SARON trades
  • TONA traded notional totaled $0.3 billion, including $0.2 billion of basis swaps. Trade count totaled 3, including 1 basis swap

YTD Ending October 26, 2018

  • SOFR traded notional totaled $2.0 billion, including $1.8 billion of basis swaps. Trade count totaled 25, including 21 basis swaps
  • SONIA traded notional was $6.3 trillion, including $102.8 billion of basis swaps. Trade count totaled 6,271, including 644 basis swaps
  • SARON traded notional and trade count was $2.4 billion and 12, respectively
  • TONA traded notional totaled $67.5 billion, including $1.9 billion of basis swaps. Trade count totaled 235, including 7 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 23%, respectively
    • CDX HY traded notional and trade count increased by 42% and 22%, respectively
    • CDX IG traded notional and trade count increased by 41% and 29%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 31%, respectively
  • 83% of total traded notional was cleared vs. 80% last year
  • 79% of total traded notional was executed On SEF vs. 75% last year

2018 Current Week vs. 2017 Current Week

  • Total credit derivatives traded notional and trade count increased by 67% and 68%, respectively
    • CDX HY traded notional and trade count increased by 119% and 95%, respectively
    • CDX IG traded notional and trade count increased by 95% and 99%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 57%, respectively
  • 84% of total traded notional was cleared vs. 82% last year
  • 81% of total traded notional was executed On SEF vs. 77% last year