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 22% and 11%, respectively
- OIS traded notional and trade count increased by 11% and 17%, 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 29% and 28%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 43% and 33%, respectively
- FRAs traded notional and trade count both increased by 4% and 6%, respectively
- OIS traded notional and trade count increased by 48% and 36%, respectively
- 90% of total traded notional was cleared vs. 87% last year
- 49% of total traded notional was cleared On SEF vs. 50% last
Interest Rate Derivatives: Benchmark Data
Week Ending December 14, 2018
- SOFR traded notional and trade count was $130 million and 1, respectively
- SONIA traded notional totaled $258.4 billion, including $1.9 billion of basis swaps. Trade count totaled 217, including 22 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $2.9 billion and 12, respectively
YTD Ending December 14, 2018
- SOFR traded notional totaled $6.2 billion, including $2.4 billion of basis swaps. Trade count totaled 51, including 27 basis swaps
- SONIA traded notional was $7.9 trillion, including $132 billion of basis swaps. Trade count totaled 8,096, including 799 basis swaps
- SARON traded notional and trade count was $2.5 billion and 15, respectively
- TONA traded notional totaled $98.2 billion, including $2.1 billion of basis swaps. Trade count totaled 329, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 37% and 28%, respectively
- CDX HY traded notional and trade count increased by 47% and 29%, respectively
- CDX IG traded notional and trade count increased by 48% and 37%, respectively
- iTraxx Europe traded notional and trade count increased by 27% and 26%, respectively
- 83% of total traded notional was cleared vs. 80% last year
- 79% of total traded notional was executed On SEF vs. 75% last year
- Total credit derivatives traded notional increased by 137% and 130%, respectively
- CDX HY traded notional and trade count increased by 170% and 182%, respectively
- CDX IG traded notional and trade count increased by 238% and 217%, respectively
- iTraxx Europe traded notional and trade count increased by 52% and 21%, respectively
- 78% of total traded notional was cleared vs. 69% last year
- 75% of total traded notional was executed On SEF vs. 64% last year