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 14%, respectively
- FRAs traded notional and trade count increased by 23% and 12%, 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
- 57% 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 2%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 20% and 4%, respectively
- FRAs traded notional increased by 14%, while trade count decreased by 6%
- OIS traded notional decreased by 4%, while trade count increased by 2%
- 89% of total traded notional was cleared, flat compared with last year
- 52% of total traded notional was executed On SEF vs. 59% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 09, 2018
- SOFR traded notional and trade count totaled $1 million and 1, respectively
- SONIA traded notional totaled $259.8 billion, including $11.4 billion of basis swaps. Trade count totaled 258, including 30 basis swaps
- There were no SARON trades
- TONA traded notional and trade count totaled $2.9 billion and 16, respectively
YTD Ending November 09, 2018
- SOFR traded notional totaled $3.7 billion, including $2.0 billion of basis swaps. Trade count totaled 31, including 24 basis swaps
- SONIA traded notional was $6.9 trillion, including $118.8 billion of basis swaps. Trade count totaled 6,791, including 688 basis swaps
- SARON traded notional and trade count totaled $2.4 billion and 12, respectively
- TONA traded notional totaled $78.7 billion, including $2.1 billion of basis swaps. Trade count totaled 268, 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 40% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 32% 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 and trade count decreased by 3% and 9%, respectively
- CDX HY traded notional and trade count decreased by 2% and 11%, respectively
- CDX IG traded notional and trade count increased by 15% and 12%, respectively
- iTraxx Europe traded notional and trade count decreased by 34% and 36%, respectively
- 75% of total traded notional was cleared vs. 85% last year
- 71% of total traded notional was executed On SEF vs. 82% last year