Posts By: zsmith@isda.org

Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending July 20 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 23% and 16%, respectively
    • OIS traded notional and trade count increased by 5% 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 22% and 4%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 16% and 1%, respectively
    • FRAs traded notional and trade count increased by 38% and 24%, respectively
    • OIS traded notional and trade count decreased by 13% and 4%, respectively
  • 87% of total traded notional was cleared, flat compared with last year
  • 62% of total traded notional was executed On SEF vs. 59% last year

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 42% and 23%, respectively
    • CDX HY traded notional and trade count increased by 53% and 27%, respectively
    • CDX IG traded notional and trade count increased by 60% and 39%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 21%, 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 18% and 21%, respectively
    • CDX HY traded notional and trade count increased by 27% and 0.1%, respectively
    • CDX IG traded notional and trade count increased by 36% and 35%, respectively
    • iTraxx Europe notional and trade count increased by 15% and 33%, respectively
  • 83% of total traded notional was cleared vs. 79% last year
  • 77% of total traded notional was executed On SEF vs. 71% last year