Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 22% and 15%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively
- FRAs traded notional and trade count increased by 24% and 16%, respectively
- OIS traded notional and trade count increased by 6% 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 decreased by 15%, while trade count increased by 1%
- Fixed-for-floating IRS traded notional and trade count increased by 14% and 1%, respectively
- FRAs traded notional decreased by 15%, while trade count increased by 6%
- OIS traded notional decreased by 43%, while trade count increased 1%
- 87% of total traded notional was cleared vs. 88% last year
- 57% of total traded notional was executed On SEF vs. 52% last year
Interest Rate Derivatives: Benchmarks Data
Week Ending September 7, 2018
- SONIA traded notional totaled $64.7 billion, including $4.1 billion of basis swaps. Trade count totaled 165, including 29 basis swaps
- TONA traded notional and trade count was $1.8 billion and 8, respectively
- There were no SOFR and SARON trades
YTD Ending
- SOFR traded notional totaled $1.5 billion, including $1.4 billion of basis swaps. Trade count totaled 14, including 12 basis swaps
- SONIA traded notional was $5.5 trillion, including $70.6 billion of basis swaps. Trade count totaled 4,926, including 513 basis swaps
- SARON traded notional and trade count was $1.2 billion and 9, respectively
- TONA traded notional totaled $59.3 billion, including $1.2 billion of basis swaps. Trade count totaled 201, including 4 basis swaps
Credit Derivatives
18 YTD vs. 2017 YT
- Total credit derivatives traded notional and trade count increased by 34% and 20%, respectively
- CDX HY traded notional and trade count increased by 40% and 18%, respectively
- CDX IG traded notional and trade count increased by 43% and 28%, respectively
- iTraxx Europe traded notional and trade count increased by 35% and 27%, respectively
- 83% of total traded notional was cleared vs. 79% last year
- 79% of total traded notional was executed On SEF vs. 74% last year
2018 Current Week vs. 2017 Current Week
- Total credit derivatives traded notional and trade count increased by 9% and 10%, respectively
- CDX HY traded notional and trade count decreased by 26% and 23%, respectively
- CDX IG traded notional and trade count decreased by 10% and 3%, respectively
- iTraxx Europe traded notional and trade count increased by 41% and 50%, respectively
- 82% of total traded notional was cleared vs. 84% last year
- 78% of total traded notional was executed On SEF vs. 80% last year