Notionals and trade counts climbed across the board in the first full week of trading after the US Independence Day holiday.

Interest Rates Derivatives

ird-july11
  • Overall rates trading was up 22% from the previous week
  • 24% more volume was cleared, and 18% more was executed On SEF than in the previous week
  • 79% of total notional was cleared this week vs. 78% last week
  • 55% of total notional was executed On SEF this week vs. 57% last week

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Credit Default Swaps

cds-july11
  • Overall CDS notional amounts climbed 46% from the previous week
  • Notional cleared rose by 53%, and 56% more was executed On SEF than in the previous week
  • 81% of total notional was cleared this week vs. 77% last week
  • 70% of total notional was executed on SEF this week vs 65% last week.

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Weekly On-SEF Notional

sef-july11

Data sourced from DTCC and Bloomberg SEF datasets accessed by ISDA SwapsInfo. Data in this analysis may differ from results on SwapsInfo.org. Previous-week data may vary from the last Weekly Analysis due to changes such as cancellations and corrections made to the datasets in the interim.

Due to the shortened trading week because of the U.S. Independence Day holiday on Friday, notionals were down across the board. Percentages of notional cleared and executed On SEF dipped only a bit for IRD, and increased for CDS, however.

Interest Rates Derivatives

  • Overall rates trading was down 28% from the previous week
  • 32% less volume was cleared, and 30% less was executed On SEF than in the previous week
  • 77% of total notional was cleared this week vs. 81% last week
  • 57% of total notional was executed On SEF this week vs. 59% last week
2104-07-07 IRD

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Credit Default Swaps

  • Overall CDS notional amounts dropped 19% from the previous week
  • Notional cleared fell by 15%, and 12% less was executed On SEF than in the previous week
  • 77% of total notional was cleared this week vs. 73% last week
  • 65% of total notional was executed on SEF this week vs 61% last week.
2104-07-07 CDS

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Weekly On-SEF Notional

2104-07-07 OnSEF

In addition to the DTCC data featured since our launch, SwapsInfo now includes Bloomberg SDR data covering cleared transactions executed on the Bloomberg SEF in IRD and CDS.

Interest Rates Derivatives

ird-june27
  • Overall rates trading was nearly flat from the previous week
  • 2% more volume was cleared, and 10% more was executed On SEF than in the previous week
  • 82% of total notional was cleared this week vs. 79% last week
  • 59% of total notional was executed On SEF this week vs. 53% last week

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

cds-june27
  • Overall CDS notional amounts dropped 17% from the previous week
  • Notional cleared fell by 24%, and 28% less was executed On SEF than in the previous week
  • 70% of total notional was cleared this week vs. 77% last week
  • 57% of total notional was executed on SEF this week vs 65% last week.

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional

sef-june27

ISDA SwapsInfo, the most comprehensive free site for examining and charting trade repository data on interest rate derivatives and credit default swaps, continues to expand the data available to users.

In addition to the DTCC data featured since our launch, SwapsInfo now includes cleared transactions executed on the Bloomberg SEF in IRD and CDS. Notional, trade count and volume-weighted average price information are available, and pop-up indicators make it easy to see these details broken out by source.

swapsinfo

If you haven’t visited the site yet, SwapsInfo makes it easy to transform data into interactive charts and downloadable spreadsheets.

  • Daily volume-weighted average IRD & CDS prices (for select products) and trading volumes, measured by notionals and trade count.
  • Functionality allowing users to look at trades taking place on or off SEF.
  • Weekly notional outstanding and trade count for a range of IRD products.
  • Weekly gross and net notional and trade count for CDS single names and indices since 2008.
  • Weekly market risk activity, measured by notional outstanding and trade count, for CDS single names and indices since 2010.

SwapsInfo is free and open to all, furthering ISDA’s commitment to safe, efficient markets.

In addition to the DTCC data featured since our launch, SwapsInfo now includes Bloomberg SDR data covering cleared transactions executed on the Bloomberg SEF in IRD and CDS.

Interest Rates Derivatives

  • Overall rates trading fell 12% from the previous week
  • 13% less volume was cleared, and 9% less was executed On SEF than in the previous week
  • 79% of total notional was cleared this week vs. 80% last week
  • 53% of total notional was executed On SEF this week vs. 52% last week
2014-06-20 IRD

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Credit Default Swaps

  • Overall CDS notional amounts rose 4% from the previous week
  • Notional cleared climbed by 18%, and 23% more was executed On SEF than in the previous week
  • 77% of total notional was cleared this week vs. 67% last week
  • 65% of total notional was executed on SEF this week vs 55% last week.
2014-06-20 CDS

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Weekly On-SEF Notional

2014-06-20 OnSEF

Interest Rates Derivatives

ird-june-13
  • Overall rates trading climbed 6% from the previous week
  • 2% more volume was cleared, and 4% less was executed On SEF than in the previous week
  • 80% of total notional was cleared this week vs. 83% last week
  • 52% of total notional was executed On SEF this week vs. 58% last week

Go to the SwapsInfo IRD Price/Transaction page

 

Credit Default Swaps

cds-june-13
  • Overall CDS notional amounts dropped 2% from the previous week
  • Notional cleared fell by 11%, and 17% less was executed On SEF than in the previous week
  • 68% of total notional was cleared this week vs. 75% last week
  • 55% of total notional was executed on SEF this week vs 65% last week. Most of this change can be attributed to a 22% drop in On SEF notional at Bloomberg.

Go to the SwapsInfo CDS Price/Transaction page

 

Weekly On-SEF Notional

sef-june-13

Interest Rates Derivatives

  • Overall rates trading climbed 51% from the previous week
  • 59% more volume was cleared, and 56% more was executed On SEF than in the previous week
  • 83% of total notional was cleared this week vs. 79% last week
  • 57% of total notional was executed On SEF this week vs. 56% last week
ird-june-6

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

  • Overall CDS notional amounts grew 53% from the previous week
  • Notional cleared climbed by 73%, and 70% more was executed On SEF than in the previous week
  • 75% of total notional was cleared this week vs. 66% last week
  • 65% of total notional was executed on SEF this week vs 58% last week
cds-june-6

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional

sef-june-6

SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

Interest Rates Derivatives

ird

  • Overall rates trading dropped 13% from the previous week
  • 15% less volume was cleared, and 19% less was executed On SEF than in the previous week
  • 79% of total notional was cleared this week vs. 81% last week
  • 56% of total notional was executed On SEF this week vs. 59% last week

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

cds
  • Overall CDS notional amounts decreased 31% from the previous week
  • Notional cleared dropped by 41%, and 41% less was executed On SEF than in the previous week
  • 66% of total notional was cleared this week vs. 78% last week
  • 58% of total notional was executed on SEF this week vs 67% last week

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional

sef

SIGNUP FOR SWAPSINFO WEEKLY ANALYSIS

Data sourced from DTCC and Bloomberg SEF datasets accessed by ISDA SwapsInfo. Data in this analysis may differ from results on SwapsInfo.org. Previous-week data may vary from the last Weekly Analysis due tochanges such as cancellations and corrections made to the datasets in the interim.

 SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

As of May 12, Bloomberg SEF stopped sending its cleared trade data to the DTCC’s trade repository. For this Weekly Analysis ending May 23, we have constructed the IRD and CDS totals by combining DTCC and Bloomberg data. However, Bloomberg data has not been integrated into the SwapsInfo website as of this writing. We will be working to reconcile the DTCC and Bloomberg repositories’ respective data in the weeks ahead.

Interest Rates Derivatives

‚¬¢ Overall rates trading dropped 17% from the previous week
‚¬¢ 19% less volume was cleared, and 5% less was executed On SEF than in the previous week
‚¬¢ 81% of total notional was cleared this week vs. 83% last week
‚¬¢ 62% of total notional was executed On SEF this week vs. 55% last week

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps 

‚¬¢ Overall CDS notional amounts decreased 7% from the previous week
‚¬¢ Notional dropped by 3%, and 3% less was executed On SEF than in the previous week
‚¬¢ 73% of total notional was cleared this week vs. 70% last week
‚¬¢ 63% of total notional was executed on SEF this week vs 61% last week

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional 

 SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

As of May 12, Bloomberg SEF stopped sending its trade data to the DTCC’s trade repository, a development which is visibly reflected in the CDS On-SEF numbers and in the On-SEF chart at the bottom. We will be working to reconcile the DTCC and Bloomberg repositories’ respective data in the weeks ahead.

Interest Rates Derivatives

‚¬¢ Overall trading reported to the Swaps Data Repository (SDR) grew 29% from the previous week
‚¬¢ 31% more volume was cleared, and 36% more was executed On SEF than in the previous week
‚¬¢ 81% of total notional was cleared this week vs. 80% last week
‚¬¢ 53% of total notional was executed On SEF this week vs. 50% last week

Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps 

‚¬¢ Overall CDS notional reported to the SDR decreased 37% from the previous week.
‚¬¢ Notional dropped by 61%, and 68% less was executed On SEF than in the previous week. Again, these numbers only include trades sent to the DTCC SDR, which Bloomberg’s SEF is no longer reporting to.
‚¬¢ 50% of total notional was cleared this week vs. 79% last week
‚¬¢ 30% of total notional was executed on SEF this week vs 59% last week

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional