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 22% and 11%, respectively
    • FRAs traded notional and trade count increased by 24% and 14%, respectively
    • OIS traded notional and trade count increased by 10% and 16%, 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 both increased by 17%
    • Fixed-for-floating IRS traded notional and trade count decreased by 17% and 34%
    • FRAs traded notional and trade count both increased by 41% and 28%, respectively
    • OIS traded notional and trade count increased by 45% and 55%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 51% of total traded notional was executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending December 7, 2018

  • There were no SOFR trades
  • SONIA traded notional totaled $197.6 billion, including $1.6 billion of basis swaps. Trade count totaled 255, including 13 basis swaps
  • SARON traded notional and trade count was $9.1 million and 1, respectively
  • TONA traded notional and trade count was $4.6 billion and 15, respectively

YTD Ending December 7, 2018

  • SOFR traded notional totaled $6.1 billion, including $2.4 billion of basis swaps. Trade count totaled 50, including 27 basis swaps
  • SONIA traded notional was $7.7 trillion, including  $130.1 billion of basis swaps. Trade count totaled 7,879, including 777 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 15, respectively
  • TONA traded notional totaled $95.2 billion, including $2.1 billion of basis swaps. Trade count totaled 317, including 8 basis swaps

 

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 36% and 26%, respectively
    • CDX HY traded notional and trade count increased by 45% and 27%, respectively
    • CDX IG traded notional and trade count increased by 46% and 35%, respectively
    • iTraxx Europe traded notional and trade count increased by 45% and 44%, 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 increased by 145% and 117%, respectively
    • CDX HY traded notional and trade count increased by 158% and 138%, respectively
    • CDX IG traded notional and trade count increased by 163% and 153%, respectively
    • iTraxx Europe  traded notional and trade count increased by 175% and 164%, respectively
  • 82% of total traded notional was cleared vs. 76% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year