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