Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 14%, respectively
    • FRAs traded notional and trade count increased by 22% and 11%, respectively
    • OIS traded notional and trade count increased by 11% and 17%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% 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 28%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 43% and 33%, respectively
    • FRAs traded notional and trade count both increased by 4% and 6%, respectively
    • OIS traded notional and trade count increased by 48% and 36%, respectively
  • 90% of total traded notional was cleared vs. 87% last year
  • 49% of total traded notional was cleared On SEF vs. 50% last

Interest Rate Derivatives: Benchmark Data 

Week Ending December 14, 2018

  • SOFR traded notional and trade count was $130 million and 1, respectively
  • SONIA traded notional totaled $258.4 billion, including $1.9 billion of basis swaps. Trade count totaled 217, including 22 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $2.9 billion and 12, respectively

YTD Ending December 14, 2018

  • SOFR traded notional totaled $6.2 billion, including $2.4 billion of basis swaps. Trade count totaled 51, including 27 basis swaps
  • SONIA traded notional was $7.9 trillion, including  $132 billion of basis swaps. Trade count totaled 8,096, including 799 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 15, respectively
  • TONA traded notional totaled $98.2 billion, including $2.1 billion of basis swaps. Trade count totaled 329, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 37% and 28%, respectively
    • CDX HY traded notional and trade count increased by 47% and 29%, respectively
    • CDX IG traded notional and trade count increased by 48% and 37%, respectively
    • iTraxx Europe traded notional and trade count increased by 27% and 26%, 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
  • Total credit derivatives traded notional increased by 137% and 130%, respectively
    • CDX HY traded notional and trade count increased by 170% and 182%, respectively
    • CDX IG traded notional and trade count increased by 238% and 217%, respectively
    • iTraxx Europe  traded notional and trade count increased by 52% and 21%, respectively
  • 78% of total traded notional was cleared vs. 69% last year
  • 75% of total traded notional was executed On SEF vs. 64% last year

 

 

 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 22% and 11%, respectively
    • FRAs traded notional and trade count increased by 24% and 14%, respectively
    • OIS traded notional and trade count increased by 10% and 16%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% 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 both increased by 17%
    • Fixed-for-floating IRS traded notional and trade count decreased by 17% and 34%
    • FRAs traded notional and trade count both increased by 41% and 28%, respectively
    • OIS traded notional and trade count increased by 45% and 55%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 51% of total traded notional was executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending December 7, 2018

  • There were no SOFR trades
  • SONIA traded notional totaled $197.6 billion, including $1.6 billion of basis swaps. Trade count totaled 255, including 13 basis swaps
  • SARON traded notional and trade count was $9.1 million and 1, respectively
  • TONA traded notional and trade count was $4.6 billion and 15, respectively

YTD Ending December 7, 2018

  • SOFR traded notional totaled $6.1 billion, including $2.4 billion of basis swaps. Trade count totaled 50, including 27 basis swaps
  • SONIA traded notional was $7.7 trillion, including  $130.1 billion of basis swaps. Trade count totaled 7,879, including 777 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 15, respectively
  • TONA traded notional totaled $95.2 billion, including $2.1 billion of basis swaps. Trade count totaled 317, including 8 basis swaps

 

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 36% and 26%, respectively
    • CDX HY traded notional and trade count increased by 45% and 27%, respectively
    • CDX IG traded notional and trade count increased by 46% and 35%, respectively
    • iTraxx Europe traded notional and trade count increased by 45% and 44%, 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 increased by 145% and 117%, respectively
    • CDX HY traded notional and trade count increased by 158% and 138%, respectively
    • CDX IG traded notional and trade count increased by 163% and 153%, respectively
    • iTraxx Europe  traded notional and trade count increased by 175% and 164%, respectively
  • 82% of total traded notional was cleared vs. 76% last year
  • 79% of total traded notional was executed On SEF vs. 74% last year

 

 

 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 22% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 23% and 12%, respectively
    • OIS traded notional and trade count increased by 9% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% 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 47% and 26%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 34% and 17%, respectively
    • FRAs traded notional and trade count both increased by 97%
    • OIS traded notional and trade count increased by 34% and 31%, respectively
  • 88% of total traded notional was cleared vs. 86% last year
  • 55% of total traded notional was executed On SEF vs. 49% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 30 , 2018

  • SOFR traded notional totaled $1.1 billion, including $0.4 billion of basis swaps. Trade count totaled 6, including 2 basis swaps
  • SONIA traded notional totaled $113 billion, including $5.1 billion of basis swaps. Trade count totaled 336, including 56 basis swaps
  • SARON traded notional and trade count was $2.7 million and 1, respectively
  • TONA traded notional and trade count was $2.3 billion and 12, respectively

YTD Ending November 30, 2018

  • SOFR traded notional totaled $6.1 billion, including $2.4 billion of basis swaps. Trade count totaled 50, including 27 basis swaps
  • SONIA traded notional was $7.5 trillion, including $128.5 billion of basis swaps. Trade count totaled 7,624, including 764 basis swaps
  • SARON traded notional and trade count was $2.5 billion and 14, respectively
  • TONA traded notional totaled $90.7 billion, including $2.1 billion of basis swaps. Trade count totaled 302, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 34% and 25%, respectively
    • CDX HY traded notional and trade count increased by 44% and 25%, respectively
    • CDX IG traded notional and trade count increased by 44% and 33%, respectively
    • iTraxx Europe traded notional and trade count increased by 31% and 29%, 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 increased by 90% and 66%, respectively
    • CDX HY traded notional and trade count increased by 53% and 59%, respectively
    • CDX IG traded notional and trade count increased by 99% and 95%, respectively
    • iTraxx Europe traded notional and trade count increased by 78% and 60%, respectively
  • 80% of total traded notional was cleared vs. 84% last year
  • 78% of total traded notional was executed On SEF vs. 80% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 22% and 11%, respectively
    • OIS traded notional and trade count increased by 9% and 15%, respectively
  • 88% of total traded notional was cleared, flat compared with last year
  • 56% 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 39% and 11%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 30% and 10%, respectively
    • FRAs traded notional and trade count increased by 43% and 12%, respectively
    • OIS traded notional and trade count increased by 45% and 26%, respectively
  • 90% of total traded notional was cleared vs. 88% last year
  • 54% of total traded notional was executed On SEF vs. 58% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 23 , 2018

  • SOFR traded notional and trade count totaled $1.2 billion and 10, respectively
  • SONIA traded notional totaled $126 billion, including $2.7 billion of basis swaps. Trade count totaled 239, including 12 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count totaled $6.1 billion and 15, respectively

YTD Ending November 23, 2018

  • SOFR traded notional totaled $5.0 billion, including $2.0 billion of basis swaps. Trade count totaled 44, including 25 basis swaps
  • SONIA traded notional was $7.3 trillion, including $123.4 billion of basis swaps. Trade count totaled 7,288, including 708 basis swaps
  • SARON traded notional and trade count totaled $2.5 billion and 13, respectively
  • TONA traded notional totaled $88.3 billion, including $2.1 billion of basis swaps. Trade count totaled 290, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 24%, respectively
    • CDX HY traded notional and trade count increased by 43% and 25%, respectively
    • CDX IG traded notional and trade count increased by 43% and 32%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% and 28%, 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 125% and 122%, respectively
    • CDX HY traded notional and trade count both increased by 226%
    • CDX IG traded notional and trade count increased by 214% and 206%, respectively
    • iTraxx Europe traded notional and trade count increased by 55% and 75%, respectively
  • 83% of total traded notional was cleared vs. 82% last year
  • 78% of total traded notional was executed On SEF vs. 77% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 13%, respectively
    • FRAs traded notional and trade count increased by 22% and 11%, 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
  • 56% 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 5%, while trade count decreased by 4%
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 5%, respectively
    • FRAs traded notional and trade count decreased by 22% and 36%, respectively
    • OIS traded notional increased by 46%, while trade count decreased by 4%
  • 90% of total traded notional was cleared vs. 87% last year
  • 49% of total traded notional was executed On SEF vs. 61% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 16, 2018

  • SOFR traded notional and trade count totaled $0.1 billion, including $10 million of basis swaps. Trade count totaled 3, including 1 basis swaps
  • SONIA traded notional totaled $360.3 billion, including $1.9 billion of basis swaps. Trade count totaled 259, including 9 basis swaps
  • SARON traded notional and trade count totaled $0.1 billion and 1, respectively
  • TONA traded notional and trade count totaled $3.6 billion and 7, respectively

YTD Ending November 16, 2018

  • SOFR traded notional totaled $3.8 billion, including $2.0 billion of basis swaps. Trade count totaled 34, including 25 basis swaps
  • SONIA traded notional was $7.2 trillion, including $120.7 billion of basis swaps. Trade count totaled 7,049, including 696 basis swaps
  • SARON traded notional and trade count totaled $2.5 billion and 13, respectively
  • TONA traded notional totaled $82.3 billion, including $2.1 billion of basis swaps. Trade count totaled 275, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 32% and 23%, respectively
    • CDX HY traded notional and trade count increased by 42% and 23%, respectively
    • CDX IG traded notional and trade count increased by 41% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 30% 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 17% each
    • CDX HY traded notional and trade count increased by 40% and 27%, respectively
    • CDX IG traded notional and trade count increased by 46% each
    • iTraxx Europe traded notional and trade count decreased by 26% and 19%, respectively
  • 82% of total traded notional was cleared vs. 83% last year
  • 78% of total traded notional was executed On SEF vs. 79% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
    • FRAs traded notional and trade count increased by 23% and 12%, 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 14% and 2%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 20% and 4%, respectively
    • FRAs traded notional increased by 14%, while trade count decreased by 6%
    • OIS traded notional decreased by 4%, while trade count increased by 2%
  • 89% of total traded notional was cleared, flat compared with last year
  • 52% of total traded notional was executed On SEF vs. 59% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 09, 2018

  • SOFR traded notional and trade count totaled $1 million and 1, respectively
  • SONIA traded notional totaled $259.8 billion, including $11.4 billion of basis swaps. Trade count totaled 258, including 30 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count totaled $2.9 billion and 16, respectively

YTD Ending November 09, 2018

  • SOFR traded notional totaled $3.7 billion, including $2.0 billion of basis swaps. Trade count totaled 31, including 24 basis swaps
  • SONIA traded notional was $6.9 trillion, including $118.8 billion of basis swaps. Trade count totaled 6,791, including 688 basis swaps
  • SARON traded notional and trade count totaled $2.4 billion and 12, respectively
  • TONA traded notional totaled $78.7 billion, including $2.1 billion of basis swaps. Trade count totaled 268, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 32% and 23%, respectively
    • CDX HY traded notional and trade count increased by 42% and 23%, respectively
    • CDX IG traded notional and trade count increased by 40% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 32% and 29%, 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 decreased by 3% and 9%, respectively
    • CDX HY traded notional and trade count decreased by 2% and 11%, respectively
    • CDX IG traded notional and trade count increased by 15% and 12%, respectively
    • iTraxx Europe traded notional and trade count decreased by 34% and 36%, respectively
  • 75% of total traded notional was cleared vs. 85% last year
  • 71% of total traded notional was executed On SEF vs. 82% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
    • FRAs traded notional and trade count increased by 23% and 12%, respectively
    • OIS traded notional and trade count increased by 8% 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 21% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 14% and 8%, respectively
    • FRAs traded notional increased by 20%, while trade count decreased by 3%
    • OIS traded notional and trade count increased by 30% and 28%, respectively
  • 90% of total traded notional was cleared vs. 87% last year
  • 54% of total traded notional was executed On SEF vs. 53% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending November 02, 2018

  • SOFR traded notional totaled $1.6 billion, including $0.2 billion of basis swaps. Trade count totaled 5, including 3 basis swaps
  • SONIA traded notional totaled $299.8 billion, including $4.6 billion of basis swaps. Trade count totaled 262, including 14 basis swaps
  • There were no SARON trades
  • TONA traded notional totaled $8.3 billion, including $0.2 billion of basis swaps. Trade count totaled 17, including 1 basis swap

YTD Ending November 02, 2018

  • SOFR traded notional totaled $3.7 billion, including $2.0 billion of basis swaps. Trade count totaled 30, including 24 basis swaps
  • SONIA traded notional was $6.6 trillion, including $107.4 billion of basis swaps. Trade count totaled 6,533, including 658 basis swaps
  • SARON traded notional and trade count was $2.4 billion and 12, respectively
  • TONA traded notional totaled $75.8 billion, including $2.1 billion of basis swaps. Trade count totaled 252, including 8 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 24%, respectively
    • CDX HY traded notional and trade count increased by 43% and 24%, respectively
    • CDX IG traded notional and trade count increased by 41% and 30%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 31%, 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 41% and 53%, respectively
    • CDX HY traded notional and trade count increased by 100% and 103%, respectively
    • CDX IG traded notional and trade count increased by 59% and 68%, respectively
    • iTraxx Europe traded notional and trade count increased by 7% and 30%, respectively
  • 84% of total traded notional was cleared vs. 82% last year
  • 80% of total traded notional was executed On SEF vs. 77% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 24% and 14%, respectively
    • FRAs traded notional and trade count increased by 23% and 13%, 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 43% and 8%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 15% and 4%, respectively
    • FRAs traded notional and trade count increased by 68% and 29%, respectively
    • OIS traded notional and trade count increased by 58% and 41%, respectively
  • 88% of total traded notional was cleared vs. 84% last year
  • 54% of total traded notional was executed On SEF, flat with last year

Interest Rate Derivatives: Benchmark Data 

Week Ending October 26, 2018

  • SOFR traded notional and trade count totaled $0.1 million and 1, respectively
  • SONIA traded notional totaled $132.1 billion, including $14.0 billion of basis swaps. Trade count totaled 182, including 35 basis swaps
  • There were no SARON trades
  • TONA traded notional totaled $0.3 billion, including $0.2 billion of basis swaps. Trade count totaled 3, including 1 basis swap

YTD Ending October 26, 2018

  • SOFR traded notional totaled $2.0 billion, including $1.8 billion of basis swaps. Trade count totaled 25, including 21 basis swaps
  • SONIA traded notional was $6.3 trillion, including $102.8 billion of basis swaps. Trade count totaled 6,271, including 644 basis swaps
  • SARON traded notional and trade count was $2.4 billion and 12, respectively
  • TONA traded notional totaled $67.5 billion, including $1.9 billion of basis swaps. Trade count totaled 235, including 7 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 33% and 23%, respectively
    • CDX HY traded notional and trade count increased by 42% and 22%, respectively
    • CDX IG traded notional and trade count increased by 41% and 29%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 31%, 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 67% and 68%, respectively
    • CDX HY traded notional and trade count increased by 119% and 95%, respectively
    • CDX IG traded notional and trade count increased by 95% and 99%, respectively
    • iTraxx Europe traded notional and trade count increased by 37% and 57%, respectively
  • 84% of total traded notional was cleared vs. 82% last year
  • 81% of total traded notional was executed On SEF vs. 77% last year

 

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% 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 12%, respectively
    • OIS traded notional and trade count increased by 7% 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 increased by 23%, while trade count decreased by 1%
    • Fixed-for-floating IRS traded notional increased by 9%, while trade count decreased by 5%
    • FRAs traded notional increased by 10%, while trade count decreased by 18%
    • OIS traded notional and trade count increased by 37% and 44%, respectively
  • 87% of total traded notional was cleared vs. 89% last year
  • 54% of total traded notional was executed On SEF vs. 61% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending October 19, 2018

  • SOFR basis swaps traded notional and trade count was $0.3 billion and 5, respectively
  • SONIA traded notional totaled $95.6 billion, including $2.9 billion of basis swaps. Trade count totaled 210, including 17 basis swaps
  • SARON traded notional and trade count was $0.6 billion and 1, respectively
  • TONA traded notional and trade count was $3.1 billion, including $0.5 billion of basis swaps. Trade count 10, including 2 basis swaps

YTD Ending October 19, 2018

  • SOFR traded notional totaled $2.0 billion, including $1.8 billion of basis swaps. Trade count totaled 24, including 21 basis swaps
  • SONIA traded notional was $6.1 trillion, including $88.7 billion of basis swaps. Trade count totaled 6,088, including 608 basis swaps
  • SARON traded notional and trade count was $2.4 billion and 12, respectively
  • TONA traded notional totaled $67.2 billion, including $1.7 billion of basis swaps. Trade count totaled 232, including 6 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 32% and 22%, respectively
    • CDX HY traded notional and trade count increased by 40% and 20%, respectively
    • CDX IG traded notional and trade count increased by 39% and 28%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 30%, 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 83% and 93%, respectively
    • CDX HY traded notional and trade count increased by 138% and 113%, respectively
    • CDX IG traded notional and trade count increased by 156% and 134%, respectively
    • iTraxx Europe traded notional and trade count increased by 57% and 93%, respectively
  • 85% of total traded notional was cleared vs. 75% last year
  • 81% of total traded notional was executed On SEF vs. 68% last year

Interest Rate Derivatives

2018 YTD vs. 2017 YTD

  • Total IRD traded notional and trade count increased by 21% and 14%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 25% and 15%, respectively
    • FRAs traded notional and trade count increased by 23% 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 and trade count increased by 44% and 23%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 46% and 27%, respectively
    • FRAs traded notional increased by 32%, while trade count decreased by 4%
    • OIS traded notional and trade count increased by 52% and 68%, respectively
  • 86% of total traded notional was cleared, flat compared with last year
  • 55% of total traded notional was executed On SEF vs. 54% last year

Interest Rate Derivatives: Benchmark Data 

Week Ending October 12, 2018

  • There were no SOFR and SARON trades
  • SONIA traded notional totaled $119.5 billion, including $6.3 billion of basis swaps. Trade count totaled 317, including 23 basis swaps
  • TONA traded notional and trade count was $0.9 billion and 7, respectively

YTD Ending October 12, 2018

  • SOFR traded notional totaled $1.8 billion, including $1.6 billion of basis swaps. Trade count totaled 19, including 16 basis swaps
  • SONIA traded notional was $6.1 trillion, including $85.8 billion of basis swaps. Trade count totaled 5,880, including 593 basis swaps
  • SARON traded notional and trade count was $1.8 billion and 11, respectively
  • TONA traded notional totaled $64.1 billion, including $1.2 billion of basis swaps. Trade count totaled 222, including 4 basis swaps

Credit Derivatives 

2018 YTD vs. 2017 YTD

  • Total credit derivatives traded notional and trade count increased by 31% and 21%, respectively
    • CDX HY traded notional and trade count increased by 38% and 18%, respectively
    • CDX IG traded notional and trade count increased by 37% and 26%, respectively
    • iTraxx Europe traded notional and trade count increased by 34% and 29%, 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 106% and 129%, respectively
    • CDX HY traded notional and trade count increased by 197% and 172%, respectively
    • CDX IG traded notional and trade count increased by 92% and 102%, respectively
    • iTraxx Europe traded notional and trade count increased by 126% and 151%, respectively
  • 87% of total traded notional was cleared vs. 80% last year
  • 83% of total traded notional was executed On SEF vs. 77% last year