Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 22% and 11%, respectively
    • OIS traded notional and trade count increased by 9% and 15%, 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 39% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 30% and 10%, respectively
    • FRAs traded notional and trade count increased by 43% and 12%, respectively
    • OIS traded notional and trade count increased by 45% and 26%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 54% of total traded notional was executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 23 , 2018

  • SOFR traded notional and trade count totaled $1.2 billion and 10, respectively
  • SONIA traded notional totaled $126 billion, including $2.7 billion of basis swaps. Trade count totaled 239, including 12 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count totaled $6.1 billion and 15, respectively

YTD Ending November 23, 2018

  • SOFR traded notional totaled $5.0 billion, including $2.0 billion of basis swaps. Trade count totaled 44, including 25 basis swaps
  • SONIA traded notional was $7.3 trillion, including $123.4 billion of basis swaps. Trade count totaled 7,288, including 708 basis swaps
  • SARON traded notional and trade count totaled $2.5 billion and 13, respectively
  • TONA traded notional totaled $88.3 billion, including $2.1 billion of basis swaps. Trade count totaled 290, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 24%, respectively
    • CDX HY traded notional and trade count increased by 43% and 25%, respectively
    • CDX IG traded notional and trade count increased by 43% and 32%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 28%, 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 125% and 122%, respectively
    • CDX HY traded notional and trade count both increased by 226%
    • CDX IG traded notional and trade count increased by 214% and 206%, respectively
    • iTraxx Europe traded notional and trade count increased by 55% and 75%, respectively
  • 83% of total traded notional was cleared vs. 82% last year
  • 78% of total traded notional was executed On SEF vs. 77% last year