Posts By: zsmith@isda.org

Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending August 10 2018

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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 27% and 16%, respectively
    • FRAs traded notional and trade count increased by 24% and 15%, respectively
    • OIS traded notional and trade count increased by 6% and 16%, 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 48% and 19%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 85% and 45%, respectively
    • OIS traded notional and trade count increased by 38% and 33%, respectively
  • 90% of total traded notional was cleared vs 85% last year
  • 62% of total traded notional was executed On SEF vs. 53% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 38% and 22%, respectively
    • CDX HY traded notional and trade count increased by 47% and 23%, respectively
    • CDX IG traded notional and trade count increased by 52% and 34%, respectively
    • iTraxx Europe traded notional and trade count increased by 35% and 25%, 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 decreased by 34% and 32%, respectively
    • CDX HY traded notional and trade count decreased by 44% and 45%, respectively
    • CDX IG traded notional and trade count decreased by 36% and 38%, respectively
    • iTraxx Europe traded notional and trade count decreased by 31% and 17%, respectively
  • 81% of total traded notional was cleared vs. 82% last year
  • 77% of total traded notional was executed On SEF vs. 78% last year