IRD and CDS Weekly Analysis: week ending January 8, 2016

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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 9%
  • Cleared notionals were flat, while trade counts were up 18%
  • Both SEF notionals and trade counts were up 9% and 21% respectively
  • 78% of total notional was cleared, vs. 77%
  • 57% of total notional was executed On SEF vs. 52%

2015 current week vs. 2014 current week

  • Interest rate notionals increased 12% and trade counts decreased 9%
  • Both cleared notionals and trade counts were up 20% and 2% respectively
  • Both SEF notionals and trade counts increased 9% and 3% respectively
  • 82% of total notional was cleared vs. 77%
  • 59% of total notional was executed On SEF vs. 61%

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 7%, while trade counts were up 2%
  • Both SEF notionals and trade counts increased 2% and 9% respectively
  • 79% of total notional was cleared vs. 75%
  • 71% of total notional was executed On SEF vs. 62%

2015 current week vs. 2014 current week

  • Both overall CDS notionals and trade counts were down 11% and 10% respectively
  • Both cleared notionals and trade counts were down 13% and 10% respectively
  • Both SEF notionals and trade counts were down 8% and 6% respectively
  • 82% of total notional was cleared vs. 84%
  • 78% of total notional was executed On SEF vs. 75%

Go to the SwapsInfo CDS Price/Transaction page