Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 22% and 13%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 25% and 14%, respectively
- FRAs traded notional and trade count increased by 21% and 10%, respectively
- OIS traded notional and trade count increased by 13% and 18%, 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 increased by 14% and 7%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 2% and 8%, respectively
- FRAs traded notional increased by 4%, while trade count decreased by 13%
- OIS traded notional and trade count increased by 59% and 2%, respectively
- 86% of total traded notional was cleared vs. 85% last year
- 43% of total traded notional was executed On SEF vs. 41% last
Interest Rate Derivatives: Benchmark Data
Week Ending December 28, 2018
- There were no SOFR trades
- SONIA traded notional totaled $8.8 billion, including $0.1 billion of basis swaps. Trade count totaled 20, including 2 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $0.2 billion and 5, respectively
YTD Ending December 21, 2018
- SOFR traded notional totaled $6.3 billion, including $2.5 billion of basis swaps. Trade count totaled 52, including 28 basis swaps
- SONIA traded notional was $7.9 trillion, including $134.1 billion of basis swaps. Trade count totaled 8,211, including 813 basis swaps
- SARON traded notional and trade count was $2.5 billion and 16, respectively
- TONA traded notional totaled $103.6 billion, including $2.1 billion of basis swaps. Trade count totaled 347, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 39% and 30%, respectively
- CDX HY traded notional and trade count increased by 51% and 33%, respectively
- CDX IG traded notional and trade count increased by 52% and 42%, respectively
- iTraxx Europe traded notional and trade count both increased by 28%
- 83% of total traded notional was cleared vs. 80% last year
- 79% of total traded notional was executed On SEF vs. 75% last year
2018 Current Week vs. 2017 Current Week
- Total credit derivatives traded notional increased by 216% and 166%, respectively
- CDX HY traded notional and trade count increased by 246% and 204%, respectively
- CDX IG traded notional and trade count increased by 312% and 327%, respectively
- iTraxx Europe traded notional and trade count increased by 85% and 138%, respectively
- 78% of total traded notional was cleared vs. 77% last year
- 75% of total traded notional was executed On SEF vs. 74% last year