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 22% and 15%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively
    • FRAs traded notional and trade count increased by 24% and 16%, respectively
    • OIS traded notional and trade count increased by 6% 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 decreased by 15%, while trade count increased by 1%
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 1%, respectively
    • FRAs traded notional decreased by 15%, while trade count increased by 6%
    • OIS traded notional decreased by 43%, while trade count increased 1%
  • 87% of total traded notional was cleared vs. 88% last year
  • 57% of total traded notional was executed On SEF vs. 52% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending September 7, 2018

  • SONIA traded notional totaled $64.7 billion, including $4.1 billion of basis swaps. Trade count totaled 165, including 29 basis swaps
  • TONA traded notional and trade count was $1.8 billion and 8, respectively
  • There were no SOFR and SARON trades

YTD Ending September 7, 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 $5.6 trillion, including  $70.6 billion of basis swaps. Trade count totaled 4,926, including 513 basis swaps
  • SARON traded notional and trade count was $1.2 billion and 9, respectively
  • TONA traded notional totaled $59.3 billion, including $1.2 billion of basis swaps. Trade count totaled 201, including 4 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 34% and 20%, respectively
    • CDX HY traded notional and trade count increased by 40% and 18%, respectively
    • CDX IG traded notional and trade count increased by 43% and 28%, 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 and trade count increased by 9% and 10%, respectively
    • CDX HY traded notional and trade count decreased by 26% and 23%, respectively
    • CDX IG traded notional and trade count decreased by 10% and 3%, respectively
    • iTraxx Europe  traded notional and trade count increased by 41% and 50%, respectively
  • 82% of total traded notional was cleared vs. 84% last year
  • 78% of total traded notional was executed On SEF vs. 80% last year