Interest Rate Derivatives

 

2018 YTD vs. 2017 YTD

  • Both total IRD traded notional and trade count increased by 23% and 16%, respectively
    • Both fixed-for-floating IRS traded notional and trade count increased by 30% and 18%, respectively
    • Both FRAs traded notional and trade count increased by 24% and 18%, respectively
    • Both OIS traded notional and trade count increased by 7% and 16%, 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 decreased by 8.5% and 6%, respectively
    • Fixed-for-floating IRS traded notional increased by 12% and, while trade count decreased by 5%
    • Both FRAs traded notional and trade count decreased by 12% and 7%, respectively
    • Both OIS traded notional and trade count decreased by 40% and 28%, respectively
  • 85% of total traded notional was cleared vs. 90% last year
  • 51% of total traded notional was executed On SEF vs. 50% last year

Credit Derivatives

 

2018 YTD vs. 2017 YTD

  • Both total credit derivatives traded notional and trade count increased 43% and 23%, respectively
    • Both CDX HY traded notional and trade count increased by 56% and 30%, respectively
    • Both CDX IG traded notional and trade count increased by 62% and 42%, respectively
    • Both ITraxx Europe traded notional and trade count increased by 37% and 19%, 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 33% and  by 30%, respectively
    • Both CDX HY traded notional and trade count increased by 47% and 25%, respectively
    • Both CDX IG traded notional and trade count increased by 49% and 46%, respectively
    • Both ITraxx Europe notional and trade count increased by 15% and 19%, respectively
  • 85% of total traded notional was cleared vs. 84% last year
  • 83% of total traded notional was executed On SEF vs. 80% last year