Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 14%, respectively
    • FRAs traded notional and trade count increased by 22% and 11%, respectively
    • OIS traded notional and trade count increased by 11% and 17%, 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

  • Total IRD traded notional and trade count increased by 29% and 28%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 43% and 33%, respectively
    • FRAs traded notional and trade count both increased by 4% and 6%, respectively
    • OIS traded notional and trade count increased by 48% and 36%, respectively
  • 90% of total traded notional was cleared vs. 87% last year
  • 49% of total traded notional was cleared On SEF vs. 50% last

Interest Rate Derivatives: Benchmark Data 

Week Ending December 14, 2018

  • SOFR traded notional and trade count was $130 million and 1, respectively
  • SONIA traded notional totaled $258.4 billion, including $1.9 billion of basis swaps. Trade count totaled 217, including 22 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $2.9 billion and 12, respectively

YTD Ending December 14, 2018

  • SOFR traded notional totaled $6.2 billion, including $2.4 billion of basis swaps. Trade count totaled 51, including 27 basis swaps
  • SONIA traded notional was $7.9 trillion, including  $132 billion of basis swaps. Trade count totaled 8,096, including 799 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 15, respectively
  • TONA traded notional totaled $98.2 billion, including $2.1 billion of basis swaps. Trade count totaled 329, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 37% and 28%, respectively
    • CDX HY traded notional and trade count increased by 47% and 29%, respectively
    • CDX IG traded notional and trade count increased by 48% and 37%, respectively
    • iTraxx Europe traded notional and trade count increased by 27% and 26%, 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
  • Total credit derivatives traded notional increased by 137% and 130%, respectively
    • CDX HY traded notional and trade count increased by 170% and 182%, respectively
    • CDX IG traded notional and trade count increased by 238% and 217%, respectively
    • iTraxx Europe  traded notional and trade count increased by 52% and 21%, respectively
  • 78% of total traded notional was cleared vs. 69% last year
  • 75% of total traded notional was executed On SEF vs. 64% last year