Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 21% and 14%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
- FRAs traded notional and trade count increased by 22% and 12%, respectively
- OIS traded notional and trade count increased by 7% 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 increased by 23%, while trade count decreased by 1%
- Fixed-for-floating IRS traded notional increased by 9%, while trade count decreased by 5%
- FRAs traded notional increased by 10%, while trade count decreased by 18%
- OIS traded notional and trade count increased by 37% and 44%, respectively
- 87% of total traded notional was cleared vs. 89% last year
- 54% of total traded notional was executed On SEF vs. 61% last year
Week Ending October 19, 2018
- SOFR basis swaps traded notional and trade count was $0.3 billion and 5, respectively
- SONIA traded notional totaled $95.6 billion, including $2.9 billion of basis swaps. Trade count totaled 210, including 17 basis swaps
- SARON traded notional and trade count was $0.6 billion and 1, respectively
- TONA traded notional and trade count was $3.1 billion, including $0.5 billion of basis swaps. Trade count 10, including 2 basis swaps
YTD Ending October 19, 2018
- SOFR traded notional totaled $2.0 billion, including $1.8 billion of basis swaps. Trade count totaled 24, including 21 basis swaps
- SONIA traded notional was $6.1 trillion, including $88.7 billion of basis swaps. Trade count totaled 6,088, including 608 basis swaps
- SARON traded notional and trade count was $2.4 billion and 12, respectively
- TONA traded notional totaled $67.2 billion, including $1.7 billion of basis swaps. Trade count totaled 232, including 6 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 32% and 22%, respectively
- CDX HY traded notional and trade count increased by 40% and 20%, respectively
- CDX IG traded notional and trade count increased by 39% and 28%, respectively
- iTraxx Europe traded notional and trade count increased by 34% and 30%, 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 83% and 93%, respectively
- CDX HY traded notional and trade count increased by 138% and 113%, respectively
- CDX IG traded notional and trade count increased by 156% and 134%, respectively
- iTraxx Europe traded notional and trade count increased by 57% and 93%, respectively
- 85% of total traded notional was cleared vs. 75% last year
- 81% of total traded notional was executed On SEF vs. 68% last year