OIS volumes collapse after rates plummet

USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak

Trading in overnight index swaps (OIS) collapsed last week, having hit record highs at the end of February and early March.

The week ending March 20 saw $502 billion in notional traded for USD OIS swaps, according to data from the Depository Trust & Clearing Corporation’s (DTCC) trade repository. This compares to $1.29 trillion for the week ending March 13 and $3.25 trillion in the week ending February 28, probably an all-time high.

Just $57.8 billion of notional hit the market on March 17

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