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 24% and 13%, respectively
- FRAs traded notional and trade count increased by 23% and 12%, respectively
- OIS traded notional and trade count increased by 9% and 15%, 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 47% and 26%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 34% and 17%, respectively
- FRAs traded notional and trade count both increased by 97%
- OIS traded notional and trade count increased by 34% and 31%, respectively
- 88% of total traded notional was cleared vs. 86% last year
- 55% of total traded notional was executed On SEF vs. 49% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 30 , 2018
- SOFR traded notional totaled $1.1 billion, including $0.4 billion of basis swaps. Trade count totaled 6, including 2 basis swaps
- SONIA traded notional totaled $113 billion, including $5.1 billion of basis swaps. Trade count totaled 336, including 56 basis swaps
- SARON traded notional and trade count was $2.7 million and 1, respectively
- TONA traded notional and trade count was $2.3 billion and 12, respectively
YTD Ending November 30, 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 $7.5 trillion, including $128.5 billion of basis swaps. Trade count totaled 7,624, including 764 basis swaps
- SARON traded notional and trade count was $2.5 billion and 14, respectively
- TONA traded notional totaled $90.7 billion, including $2.1 billion of basis swaps. Trade count totaled 302, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 34% and 25%, respectively
- CDX HY traded notional and trade count increased by 44% and 25%, respectively
- CDX IG traded notional and trade count increased by 44% and 33%, respectively
- iTraxx Europe traded notional and trade count increased by 31% and 29%, 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 90% and 66%, respectively
- CDX HY traded notional and trade count increased by 53% and 59%, respectively
- CDX IG traded notional and trade count increased by 99% and 95%, respectively
- iTraxx Europe traded notional and trade count increased by 78% and 60%, respectively
- 80% of total traded notional was cleared vs. 84% last year
- 78% of total traded notional was executed On SEF vs. 80% last year