IRD and CDS Weekly Analysis: week ending December 11, 2015

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Interest Rates Derivatives

2015 year-to-date vs. 2014 year-to-date

  • Overall interest rate notionals decreased 2%, while trade counts increased 11%
  • Cleared notionals decreased 1%, while trade counts were up 19%
  • Both SEF notionals and trade counts were up 8% and 22% respectively
  • 78% of total notional was cleared, flat with last week
  • 57% of total notional was executed On SEF vs. 52%

2015 current week vs. 2014 current week

  • Both interest rate notionals and trade counts increased 31% and 1% respectively
  • Both cleared notionals and trade counts were up 38% and 21% respectively
  • SEF notionals and trade counts increased 42% and 17% respectively
  • 80% of total notional was cleared vs. 76%
  • 58% of total notional was executed On SEF vs. 53%

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

2015 year-to-date vs. 2014 year-to-date

  • Both overall CDS notionals and trade counts were down 12% and 2% respectively
  • Cleared notionals were down 6%, while trade counts were up 3%
  • SEF notionals increased 3%, while trade counts were up 10%
  • 79% of total notional was cleared vs. 74%
  • 71% of total notional was executed On SEF vs. 61%

2015 current week vs. 2014 current week

  • Both overall CDS notionals and trade counts were down 17% and 12% respectively
  • Both cleared notionals and trade counts were down 13% and 11% respectively
  • Both SEF notionals and trade counts were down 8% and 7% respectively
  • 82% of total notional was cleared vs. 78%
  • 80% of total notional was executed On SEF vs. 72%

Go to the SwapsInfo CDS Price/Transaction page