Interest Rate Derivatives
2018 YTD vs. 2017 YTD
- Total IRD traded notional and trade count increased by 23% and 15%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 25% and 16%, respectively
- FRAs traded notional and trade count increased by 26% and 16%, respectively
- OIS traded notional and trade count increased by 8% 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 and trade count increased by 29% and 16%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 20% and 16%, respectively
- FRAs traded notional and trade count increased by 30% and 17%, respectively
- OIS traded notional and trade count increased by 44% and 8%, respectively
- 85% of total traded notional was cleared, flat compared with last year
- 52% of total traded notional was executed On SEF vs. 56% last year
Interest Rate Derivatives: Benchmarks Data
Week Ending August 31, 2018
- SONIA traded notional totaled $143.2 billion, including $0.9 billion of basis swaps. Trade count totaled 121, including 8 basis swaps
- TONA traded notional and trade count was $0.4 billion and 5, respectively
- There were no SOFR and SARON trades
YTD Ending August 31, 2018
- 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 $66.5 billion of basis swaps. Trade count totaled 4,761, including 484 basis swaps
- SARON traded notional and trade count was $1.2 billion and 9, respectively
- TONA traded notional totaled $57.5 billion, including $1.2 billion of basis swaps. Trade count totaled 193, including 4 basis swaps
Credit Derivatives
2018 YTD vs. 2017 YTD
- Total credit derivatives traded notional and trade count increased by 34% and 21%, respectively
- CDX HY traded notional and trade count increased by 42% and 19%, respectively
- CDX IG traded notional and trade count increased by 44% and 29%, 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 decreased by 6%, while trade count increased by 1%, respectively
- CDX HY traded notional and trade count decreased by 9% and 12%, respectively
- CDX IG traded notional and trade count decreased by 28% and 17%, respectively
- iTraxx Europe traded notional and trade count increased by 5% and 20%, respectively
- 78% of total traded notional was cleared vs. 83% last year
- 75% of total traded notional was executed On SEF vs. 80% last year