Interest Rates Derivatives

2017 year-to-date vs. 2016 year-to-date

  • Both overall interest rate notionals and trade counts increased 16% and 6%, respectively
  • Both cleared notionals and trade counts were up 21% and 15%, respectively
  • Both SEF notionals and trade counts increased 17% and 18%, respectively
  • 88% of total notional was cleared vs. 84%
  • 55% of total notional was executed On SEF, flat with last year

2017 current week vs. 2016 current week

  • Both overall interest rate notionals and trade counts decreased 26% and 17%, respectively
  • Both cleared notionals and trade counts were down 28% and 16%, respectively
  • Both SEF notionals and trade counts decreased 38% and 16%, respectively
  • 86% of total notional was cleared vs. 89%
  • 49% of total notional was executed On SEF vs. 59%

 

Credit Default Swaps

2017 year-to-date vs. 2016 year-to-date

  • Both overall CDS notionals and trade counts were down 5% and 17%, respectively
  • Both cleared notionals and trade counts decreased 6% and 17%, respectively
  • Both SEF notionals and trade counts decreased 6% and 19%, respectively
  • 80% of total notional was cleared vs. 81%
  • 75% of total notional was executed On SEF vs. 76%

2017 current week vs. 2016 current week

  • CDS notionals were up 9%, while trade counts were down 9%
  • Cleared notionals increased 21%, while trade counts decreased 6%
  • SEF notionals were up 19%, while trade counts decreased 7%
  • 83% of total notional was cleared vs. 75%
  • 80% of total notional was executed On SEF vs. 73%

 

 

Weekly On-SEF Notional