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 25% and 15%, respectively
- FRAs traded notional and trade count increased by 23% and 14%, respectively
- OIS traded notional and trade count increased by 6% and 14%, 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 44% and 23%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 46% and 27%, respectively
- FRAs traded notional increased by 32%, while trade count decreased by 4%
- OIS traded notional and trade count increased by 52% and 68%, respectively
- 86% of total traded notional was cleared, flat compared with last year
- 55% of total traded notional was executed On SEF vs. 54% last year
Interest Rate Derivatives: Benchmark Data
Week Ending October 12, 2018
- There were no SOFR and SARON trades
- SONIA traded notional totaled $119.5 billion, including $6.3 billion of basis swaps. Trade count totaled 317, including 23 basis swaps
- TONA traded notional and trade count was $0.9 billion and 7, respectively
YTD Ending October 12, 2018
- SOFR traded notional totaled $1.8 billion, including $1.6 billion of basis swaps. Trade count totaled 19, including 16 basis swaps
- SONIA traded notional was $6.1 trillion, including $85.8 billion of basis swaps. Trade count totaled 5,880, including 593 basis swaps
- SARON traded notional and trade count was $1.8 billion and 11, respectively
- TONA traded notional totaled $64.1 billion, including $1.2 billion of basis swaps. Trade count totaled 222, including 4 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 31% and 21%, respectively
- CDX HY traded notional and trade count increased by 38% and 18%, respectively
- CDX IG traded notional and trade count increased by 37% and 26%, respectively
- iTraxx Europe traded notional and trade count increased by 34% 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 increased by 106% and 129%, respectively
- CDX HY traded notional and trade count increased by 197% and 172%, respectively
- CDX IG traded notional and trade count increased by 92% and 102%, respectively
- iTraxx Europe traded notional and trade count increased by 126% and 151%, respectively
- 87% of total traded notional was cleared vs. 80% last year
- 83% of total traded notional was executed On SEF vs. 77% last year