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 21% and 10%, respectively
    • OIS traded notional and trade count increased by 13% and 18%, 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 14% and 7%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 2% and 8%, respectively
    • FRAs traded notional increased by 4%, while trade count decreased by 13%
    • OIS traded notional and trade count increased by 59% and 2%, respectively
  • 86% of total traded notional was cleared vs. 85% last year
  • 43% of total traded notional was executed On SEF vs. 41% last

Interest Rate Derivatives: Benchmark Data 

Week Ending December 28, 2018

  • There were no SOFR trades
  • SONIA traded notional totaled $8.8 billion, including $0.1 billion of basis swaps. Trade count totaled 20, including 2 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $0.2 billion and 5, respectively

YTD Ending December 21, 2018

  • SOFR traded notional totaled $6.3 billion, including $2.5 billion of basis swaps. Trade count totaled 52, including 28 basis swaps
  • SONIA traded notional was $7.9 trillion, including $134.1 billion of basis swaps. Trade count totaled 8,211, including 813 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 16, respectively
  • TONA traded notional totaled $103.6 billion, including $2.1 billion of basis swaps. Trade count totaled 347, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 39% and 30%, respectively
    • CDX HY traded notional and trade count increased by 51% and 33%, respectively
    • CDX IG traded notional and trade count increased by 52% and 42%, respectively
    • iTraxx Europe traded notional and trade count both increased by 28%
  • 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 216% and 166%, respectively
    • CDX HY traded notional and trade count increased by 246% and 204%, respectively
    • CDX IG traded notional and trade count increased by 312% and 327%, respectively
    • iTraxx Europe traded notional and trade count increased by 85% and 138%, respectively
  • 78% of total traded notional was cleared vs. 77% last year
  • 75% of total traded notional was executed On SEF vs. 74% last year