Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 21% 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 22% and 11%, respectively
- OIS traded notional and trade count increased by 8% 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 increased by 5%, while trade count decreased by 4%
- Fixed-for-floating IRS traded notional and trade count increased by 14% and 5%, respectively
- FRAs traded notional and trade count decreased by 22% and 36%, respectively
- OIS traded notional increased by 46%, while trade count decreased by 4%
- 90% of total traded notional was cleared vs. 87% last year
- 49% of total traded notional was executed On SEF vs. 61% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 16, 2018
- SOFR traded notional and trade count totaled $0.1 billion, including $10 million of basis swaps. Trade count totaled 3, including 1 basis swaps
- SONIA traded notional totaled $360.3 billion, including $1.9 billion of basis swaps. Trade count totaled 259, including 9 basis swaps
- SARON traded notional and trade count totaled $0.1 billion and 1, respectively
- TONA traded notional and trade count totaled $3.6 billion and 7, respectively
YTD Ending November 16, 2018
- SOFR traded notional totaled $3.8 billion, including $2.0 billion of basis swaps. Trade count totaled 34, including 25 basis swaps
- SONIA traded notional was $7.2 trillion, including $120.7 billion of basis swaps. Trade count totaled 7,049, including 696 basis swaps
- SARON traded notional and trade count totaled $2.5 billion and 13, respectively
- TONA traded notional totaled $82.3 billion, including $2.1 billion of basis swaps. Trade count totaled 275, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 32% and 23%, respectively
- CDX HY traded notional and trade count increased by 42% and 23%, respectively
- CDX IG traded notional and trade count increased by 41% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 30% and 27%, 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 and trade count increased by 17% each
- CDX HY traded notional and trade count increased by 40% and 27%, respectively
- CDX IG traded notional and trade count increased by 46% each
- iTraxx Europe traded notional and trade count decreased by 26% and 19%, respectively
- 82% of total traded notional was cleared vs. 83% last year
- 78% of total traded notional was executed On SEF vs. 79% last year