IRD and CDS Weekly Analysis: week ending May 29, 2015

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Interest Rates Derivatives

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

  • Overall interest rate notionals were down 11%, while trade counts increased 12%
  • Cleared notionals were down 17%, while trade counts were up 7%
  • SEF notionals were down 7%, while trade counts were up 16%
  • 72% of total notional was cleared vs. 78%
  • 55% of total notional was executed On SEF vs. 53%

2015 current week vs. 2014 current week

  • Overall interest rate notionals were up 8%, while trade counts were down 5%
  • Cleared notionals were down 26%, while trade counts remained flat
  • Both SEF notionals and trade counts were down 27% and 6% respectively
  • 47% of total notional was cleared vs. 69%
  • 34% of total notional was executed On SEF vs. 50%

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

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

  • Overall CDS notionals were down 10%, while trade counts were up 3%
  • Both cleared notionals and trade counts were up 9% and 22% respectively
  • Both SEF notionals and trade counts were up 26% and 35% respectively
  • 79% of total notional was cleared vs. 66%
  • 70% of total notional was executed On SEF vs. 50%

2015 current week vs. 2014 current week

  • Overall CDS notionals were down 5%, while trade counts were up 19%
  • Both cleared notionals and trade counts were up 15% and 30% respectively
  • Both SEF notionals and trade counts were up 19% and 36% respectively
  • 78% of total notional was cleared vs. 65%
  • 71% of total notional was executed On SEF vs. 57%

Go to the SwapsInfo CDS Price/Transaction page