Interest Rate Derivatives

 

2018 YTD vs. 2017 YTD

  • Both total IRD traded notional and trade count increased by 25% and 17%, respectively
    • Both fixed-for-floating IRS traded notional and trade count increased by 31% and 19%, respectively
    • Both FRAs traded notional and trade count increased by 25% and 19%, respectively
    • Both OIS traded notional and trade count increased by 10% and 18%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% of total traded notional was executed On SEF, flat compared with last year

2018 Current Week vs. 2017 Current Week

  • Total IRD traded notional increased by 0.5% while trade count decreased by 2%
    • Both fixed-for-floating IRS traded notional and trade count increased by 18% and 6%, respectively
    • Both FRAs traded notional and trade count decreased by 32% and 40%, respectively
    • Both OIS traded notional and trade count increased by 13% and 29%, respectively
  • 85% of total traded notional was cleared vs. 89% last year
  • 51% of total traded notional was executed On SEF vs. 57% last year

Credit Derivatives

 

2018 YTD vs. 2017 YTD

  • Both total credit derivatives traded notional and trade count increased 44% 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 63% and 42%, respectively
    • Both ITraxx Europe traded notional and trade count increased by 38% 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 increased by 3%, while trade count decreased by 6%
    • Both CDX HY traded notional and trade count decreased by 20% and 25%, respectively
    • Both CDX IG traded notional and trade count increased by 15% and 18%, respectively
    • Both ITraxx Europe notional and trade count declined by 2% and 9%, respectively
  • 83% of total traded notional was cleared vs. 82% last year
  • 77% of total traded notional was executed On SEF vs. 75% last year