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 20% and 14%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively
- FRAs traded notional and trade count increased by 22% and 15%, respectively
- OIS traded notional and trade count increased by 5% 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 and trade count increased by 27% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 21% and 4%, respectively
- FRAs traded notional and trade count increased by 70% and 86%, respectively
- OIS traded notional decreased by 6%, while trade count increased by 13%
- 89% of total traded notional was cleared, flat compared with last year
- 60% of total traded notional was executed On SEF vs. 49% last year
Interest Rate Derivatives: Benchmark Data
Week Ending September 21, 2018
- SONIA traded notional totaled $163.4 billion, including $2.1 billion of basis swaps. Trade count totaled 179, including 18 basis swaps
- TONA traded notional and trade count was $0.9 billion and 3, respectively
- There were no SOFR and SARON trades
YTD Ending September 21, 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 $5.8 trillion, including $74.1 billion of basis swaps. Trade count totaled 5,255, including 542 basis swaps
- SARON traded notional and trade count was $1.2 billion and 9, respectively
- TONA traded notional totaled $63.1 billion, including $1.2 billion of basis swaps. Trade count totaled 209, including 4 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 30% and 19%, respectively
- CDX HY traded notional and trade count increased by 38% and 16%, respectively
- CDX IG traded notional and trade count increased by 37% and 25%, respectively
- iTraxx Europe traded notional and trade count increased by 31% and 26%, respectively
- 83% of total traded notional was cleared vs. 80% 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 decreased by 14% and 13%, respectively
- CDX HY traded notional increased by 10%, while trade count decreased by 9%
- CDX IG traded notional and trade count decreased by 16% and 19%, respectively
- iTraxx Europe traded notional and trade count decreased by 11% and 4%, respectively
- 84% of total traded notional was cleared vs. 83% last year
- 80% of total traded notional was executed On SEF vs. 75% last year