Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 20% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
    • FRAs traded notional and trade count increased by 22% and 14%, respectively
    • OIS traded notional and trade count increased by 6% and 14%, 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 increased by 14%, while trade count decreased by 0.4%
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 5%, respectively
    • FRAs traded notional and trade count decreased by 0.4% and 29%, respectively
    • OIS traded notional and trade count increased by 30% and 5%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 53% of total traded notional was executed On SEF vs. 57% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending September 28, 2018

  • SOFR traded notional and trade count was $0.1 billion and 1, respectively
  • SONIA traded notional totaled $96.0 billion, including $5.1 billion of basis swaps. Trade count totaled 175, including 19 basis swaps
  • SARON traded notional and trade count was $0.1 billion and 1, respectively
  • TONA traded notional and trade count was $0.2 billion and 3, respectively

YTD Ending September 28, 2018

  • SOFR traded notional totaled $1.6 billion, including $1.4 billion of basis swaps. Trade count totaled 15, including 12 basis swaps
  • SONIA traded notional was $5,879 billion, including $78.9 billion of basis swaps. Trade count totaled 5,430, including 561 basis swaps
  • SARON traded notional and trade count was $1.3 billion and 10, respectively
  • TONA traded notional totaled $63.1 billion, including $1.2 billion of basis swaps. Trade count totaled 212, including 4 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 29% and 18%, respectively
    • CDX HY traded notional and trade count increased by 33% and 15%, respectively
    • CDX IG traded notional and trade count increased by 36% and 24%, respectively
    • iTraxx Europe traded notional and trade count increased by 32% and 27%, 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 and trade count increased by 9% and 6%, respectively
    • CDX HY traded notional and trade count decreased by 12% and 16%, respectively
    • CDX IG traded notional and trade count increased by 20% and 14%, respectively
    • iTraxx Europe  traded notional and trade count increased by 35% and 44%, respectively
  • 87% of total traded notional was cleared vs. 84% last year
  • 84% of total traded notional was executed On SEF vs.80% last year