IRD and CDS Weekly Analysis: week ending March 20, 2015

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Interest Rates Derivatives

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

  • Overall interest rate notionals were down 16%, while trade counts increased 10%
  • Cleared notionals were down 22%, while trade counts were up 1%
  • SEF notionals were down 13%, while trade counts were up 15%
  • 72% of total notional was cleared vs. 77%
  • 54% of total notional was executed On SEF vs. 52%

2015 current week vs. 2014 current week

  • Both overall interest rate notionals and trade counts were up 22% and 35% respectively
  • Both cleared notionals and trade counts were up 25% and 31% respectively
  • Both SEF notionals and trade counts were up 14% and 33% respectively
  • 77% of total notional was cleared vs. 75%
  • 57% 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

  • Overall CDS notionals were down 10%, while trade counts were up 2%
  • Both cleared notionals and trade counts were up 18% and 32% respectively
  • Both SEF notionals and trade counts were up 42% and 54% respectively
  • 81% of total notional was cleared vs. 61%
  • 71% of total notional was executed On SEF vs. 45%

2015 current week vs. 2014 current week

  • Both overall CDS notionals and trade counts were up 1% and 5% respectively
  • Both cleared notionals and trade counts were up 17% and 21% respectively
  • Both SEF notionals and trade counts increased 24%
  • 83% of total notional was cleared vs. 72%
  • 73% of total notional was executed On SEF vs. 59%

Go to the SwapsInfo CDS Price/Transaction page