Interest Rates Derivatives

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

  • Both overall interest rate notionals and trade counts increased 17% and 7%, respectively
  • Both cleared notionals and trade counts were up 23% and 16%, respectively
  • Both SEF notionals and trade counts increased 18% and 19%, 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

  • Overall interest rate notionals increased 10%, while trade counts decreased 20%  
  • Cleared notionals were up 15%, while trade counts were down 16%
  • SEF notionals increased 23%, while trade counts decreased 12%
  • 87% of total notional was cleared vs. 83%
  • 61% of total notional was executed On SEF vs. 54%

 

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 7% and 17%, respectively
  • Both SEF notionals and trade counts decreased 7% 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 2%, while trade counts were down 14%
  • Cleared notionals increased 7%, while trade counts decreased 10%
  • SEF notionals were up 12%, while trade counts decreased 6%
  • 83% of total notional was cleared vs. 79%
  • 79% of total notional was executed On SEF vs. 72%

 

Weekly On-SEF Notional