Swaps Data Review: Credit Derivative volumes

My Monthly Swaps Data Review for Risk Magazine was published on Friday.

This looks at volumes of Credit Derivatives in the 4-month period to July 2017, showing:

  • Global Cleared Volumes
    • CDS Index represents 86% and CDS 14% of volume
    • ICE Clear Credit is the largest CCP with 75% of the volume
    • iTraxx Europe is the largest product with 41% of the volume
  • Swap Execution Facility Volumes
    • CDS Index volume at $1.9 trillion is 60% of the global cleared volume
    • Bloomberg has 80% share
    • Tradeweb is next with 12%
    • Options $23 billion in the 4-month period
  • Swap Data Repository
    • Execution times, prices and volumes of trades for CDX.NA.IG.S28

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