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 22% and 11%, respectively
- FRAs traded notional and trade count increased by 24% and 14%, respectively
- OIS traded notional and trade count increased by 10% and 16%, 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 both increased by 17%
- Fixed-for-floating IRS traded notional and trade count decreased by 17% and 34%
- FRAs traded notional and trade count both increased by 41% and 28%, respectively
- OIS traded notional and trade count increased by 45% and 55%, respectively
- 91% of total traded notional was cleared vs. 89% last year
- 51% of total traded notional was executed On SEF vs. 58% last year
Interest Rate Derivatives: Benchmark Data
Week Ending December 7, 2018
- There were no SOFR trades
- SONIA traded notional totaled $197.6 billion, including $1.6 billion of basis swaps. Trade count totaled 255, including 13 basis swaps
- SARON traded notional and trade count was $9.1 million and 1, respectively
- TONA traded notional and trade count was $4.6 billion and 15, respectively
YTD Ending December 7, 2018
- SOFR traded notional totaled $6.1 billion, including $2.4 billion of basis swaps. Trade count totaled 50, including 27 basis swaps
- SONIA traded notional was $7.7 trillion, including $130.1 billion of basis swaps. Trade count totaled 7,879, including 777 basis swaps
- SARON traded notional and trade count was $2.5 billion and 15, respectively
- TONA traded notional totaled $95.2 billion, including $2.1 billion of basis swaps. Trade count totaled 317, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 36% and 26%, respectively
- CDX HY traded notional and trade count increased by 45% and 27%, respectively
- CDX IG traded notional and trade count increased by 46% and 35%, respectively
- iTraxx Europe traded notional and trade count increased by 45% and 44%, 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
2018 Current Week vs. 2017 Current Week
- Total credit derivatives traded notional increased by 145% and 117%, respectively
- CDX HY traded notional and trade count increased by 158% and 138%, respectively
- CDX IG traded notional and trade count increased by 163% and 153%, respectively
- iTraxx Europe traded notional and trade count increased by 175% and 164%, respectively
- 82% of total traded notional was cleared vs. 76% last year
- 79% of total traded notional was executed On SEF vs. 74% last year