Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 20% 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 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 increased by 14%, while trade count decreased by 0.4%
- Fixed-for-floating IRS traded notional and trade count increased by 14% and 5%, respectively
- FRAs traded notional and trade count decreased by 0.4% and 29%, respectively
- OIS traded notional and trade count increased by 30% and 5%, respectively
- 90% of total traded notional was cleared vs. 88% last year
- 53% of total traded notional was executed On SEF vs. 57% last year
Interest Rate Derivatives: Benchmark Data
Week Ending September 28, 2018
- SOFR traded notional and trade count was $0.1 billion and 1, respectively
- SONIA traded notional totaled $96.0 billion, including $5.1 billion of basis swaps. Trade count totaled 175, including 19 basis swaps
- SARON traded notional and trade count was $0.1 billion and 1, respectively
- TONA traded notional and trade count was $0.2 billion and 3, respectively
YTD Ending September 28, 2018
- SOFR traded notional totaled $1.6 billion, including $1.4 billion of basis swaps. Trade count totaled 15, including 12 basis swaps
- SONIA traded notional was $5,879 billion, including $78.9 billion of basis swaps. Trade count totaled 5,430, including 561 basis swaps
- SARON traded notional and trade count was $1.3 billion and 10, respectively
- TONA traded notional totaled $63.1 billion, including $1.2 billion of basis swaps. Trade count totaled 212, including 4 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 29% and 18%, respectively
- CDX HY traded notional and trade count increased by 33% and 15%, respectively
- CDX IG traded notional and trade count increased by 36% and 24%, respectively
- iTraxx Europe traded notional and trade count increased by 32% 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 9% and 6%, respectively
- CDX HY traded notional and trade count decreased by 12% and 16%, respectively
- CDX IG traded notional and trade count increased by 20% and 14%, respectively
- iTraxx Europe traded notional and trade count increased by 35% and 44%, respectively
- 87% of total traded notional was cleared vs. 84% last year
- 84% of total traded notional was executed On SEF vs.80% last year