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 16%, 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 21% and 8%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 14% and 8%, respectively
- FRAs traded notional increased by 20%, while trade count decreased by 3%
- OIS traded notional and trade count increased by 30% and 28%, respectively
- 90% of total traded notional was cleared vs. 87% last year
- 54% of total traded notional was executed On SEF vs. 53% last year
Interest Rate Derivatives: Benchmark Data
Week Ending November 02, 2018
- SOFR traded notional totaled $1.6 billion, including $0.2 billion of basis swaps. Trade count totaled 5, including 3 basis swaps
- SONIA traded notional totaled $299.8 billion, including $4.6 billion of basis swaps. Trade count totaled 262, including 14 basis swaps
- There were no SARON trades
- TONA traded notional totaled $8.3 billion, including $0.2 billion of basis swaps. Trade count totaled 17, including 1 basis swap
YTD Ending November 02, 2018
- SOFR traded notional totaled $3.7 billion, including $2.0 billion of basis swaps. Trade count totaled 30, including 24 basis swaps
- SONIA traded notional was $6.6 trillion, including $107.4 billion of basis swaps. Trade count totaled 6,533, including 658 basis swaps
- SARON traded notional and trade count was $2.4 billion and 12, respectively
- TONA traded notional totaled $75.8 billion, including $2.1 billion of basis swaps. Trade count totaled 252, including 8 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 33% and 24%, respectively
- CDX HY traded notional and trade count increased by 43% and 24%, respectively
- CDX IG traded notional and trade count increased by 41% and 30%, respectively
- iTraxx Europe traded notional and trade count increased by 34% and 31%, 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 41% and 53%, respectively
- CDX HY traded notional and trade count increased by 100% and 103%, respectively
- CDX IG traded notional and trade count increased by 59% and 68%, respectively
- iTraxx Europe traded notional and trade count increased by 7% and 30%, respectively
- 84% of total traded notional was cleared vs. 82% last year
- 80% of total traded notional was executed On SEF vs. 77% last year