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 15%, respectively
    • FRAs traded notional and trade count increased by 21% and 10%, respectively
    • OIS traded notional and trade count increased by 12% 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 34% and 27%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 38% and 25%, respectively
    • FRAs traded notional and trade count decreased by 36% and 24%, respectively
    • OIS traded notional and trade count increased by 138% and 101%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 46% of total traded notional was cleared On SEF vs. 55% last

Interest Rate Derivatives: Benchmark Data 

Week Ending December 21, 2018

  • SOFR basis swap traded notional and trade count was $50 million and 1, respectively
  • SONIA traded notional totaled $57.2 billion, including $2.1 billion of basis swaps. Trade count totaled 95, including 12 basis swaps
  • SARON traded notional and trade count was $12 million and 1, respectively
  • TONA traded notional and trade count was $5.3 billion and 13, 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 $8.0 trillion, including $134.1 billion of basis swaps. Trade count totaled 8,191, including 811 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 16, respectively
  • TONA traded notional totaled $103.4 billion, including $2.1 billion of basis swaps. Trade count totaled 342, 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 50% and 32%, respectively
    • CDX IG traded notional and trade count increased by 51% and 41%, 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 197% and 182%, respectively
    • CDX HY traded notional and trade count increased by 254% and 242%, respectively
    • CDX IG traded notional and trade count increased by 396% and 369%, respectively
    • iTraxx Europe  traded notional and trade count increased by 93% and 206%, respectively
  • 81% of total traded notional was cleared vs. 73% last year
  • 77% of total traded notional was executed On SEF vs. 64% last year