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

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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.

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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

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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

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Weekly On-SEF Notional

sef-june-6

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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

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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 

 SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

Interest Rates Derivatives

  • Overall trading reported to the SDR grew 16% from the previous week
  • 23% more volume was cleared, and 10% more was executed On SEF than in the previous week
  • 80% of total notional was cleared this week vs. 75% last week
  • 50% of total notional was executed On SEF this week vs. 53% last week
May-9-14-IRD

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Credit Default Swaps 

  • Overall CDS notional reported to the SDR decreased 34% from the previous week. Uncleared and Off SEF trades accounted for the bulk of the declines this week.
  • Notional cleared was flat. 2% less was executed On SEF than in the previous week
  • 79% of total notional was cleared this week vs. 52% last week
  • 59% of total notional was executed on SEF this week vs 39% last week
May-9-14-CDS

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Weekly On-SEF Notional 

May-9-14-SEF

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Interest Rates Derivatives

  • Overall trading reported to the SDR grew 10% from the previous week
  • 7% more volume was cleared, and 7% more was executed On SEF than in the previous week
  • 75% of total notional was cleared this week vs. 77% last week
  • 52% of total notional was executed on SEF this week vs. 54% last week

si-ird-may-2 Go to the SwapsInfo IRD Price/Transaction page

Credit Default Swaps

  • Overall CDS notional reported to the SDR increased 66% from the previous week. There was a big spike in uncleared and off-SEF products, with some products showing huge multiples of the previous week’s notional. Of note this week:
  • The week‚¬„¢s top 3 uncleared products were CDXTrancheIG (USD); iTraxxEurope (EUR) and iTraxxAsiaExJapan (USD).
  • The week‚¬„¢s top 3 off-SEF products were iTraxxAsiaExJapan (USD); iTraxxJapan (JPY); and StandardCDXTrancheHY (USD).
  • 13% more volume was cleared and 4% more was executed On SEF than in the previous week
  • 53% of total notional was cleared this week vs. 77% last week
  • 40% of total notional was executed on SEF this week vs 62% last week

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional

si-sef-may-2

 SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

Interest Rates Derivatives

  • Overall trading reported to the SDR decreased 15% from the previous week
  • 20% less volume was cleared, and 16% less was executed On SEF than in the previous week
  • 77% of total notional was cleared this week vs. 81% last week
  • 54% of total notional was executed on SEF this week, largely unchanged from last week
aprl25-ird

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Credit Default Swaps ‚¬¢ Overall trading reported to the SDR decreased 8% from the previous week

  • 14% less volume was cleared and 13% less was executed On SEF than in the previous week
  • 78% of total notional was cleared this week vs. 83.5% last week
  • 63% of total notional was executed on SEF this week vs 66% last week
aprl25-cds

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Weekly On-SEF Notional

aprl25-sef

Data sourced from DTCC datasets accessed by ISDA SwapsInfo. Previous-week data may vary from the last Weekly Analysis due to cancellations and corrections made to the DTCC dataset in the interim. ©2014 International Swaps and Derivatives Association, Inc.

 SIGNUP FOR THE EMAILED VERSION OF SWAPSINFO WEEKLY ANALYSIS

Data from ISDA SwapsInfo for the week ending April 18, 2014. As it was a holiday week in many markets, reported trades were down significantly.

Interest Rates Derivatives

  • Overall trading reported to the SDR decreased 15% from the previous week
  • 13% less volume was cleared, and 8% less was executed On SEF than in the previous week
  • 81% of total notional was cleared this week vs. 79% last week
  • 54% of total notional was executed on SEF this week vs. 50% last week
2014-04-18IDR

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Credit Default Swaps

  • Overall trading reported to the SDR decreased 34% from the previous week
  • 30% less volume was cleared and 34% less was executed On SEF than in the previous week
  • 83.5% of total notional was cleared this week vs. 79% last week
  • 66% of total notional was executed on SEF this week vs 65.5% last week
2014-04-CDS

Go to the SwapsInfo CDS Price/Transaction page

Weekly On-SEF Notional

2014-04-On-SEF[1]

 

Summary

ISDA SwapsInfo provides a wealth of information on the OTC derivatives markets, ranging from daily volume-weighted average prices for certain swaps, to weekly market risk activity for CDS and outstanding notionals and trade count for the different types of interest rate contracts.

In this space, we will take a periodic look at the data to discern key trends. How, for example, has the average daily trade size of certain interest rate derivatives contracts changed? What are the current trends in single-name CDS versus index market risk transaction activity?

This month we focus on an analysis of DTCC‚¬„¢s SDR data on interest rate derivatives activity. Our study reveals the following key rates trends this month:

  • Total cleared notional amounts have risen steadily since January 2013, driving total rates notional amounts (cleared and uncleared) higher.
  • Total uncleared notional amounts have risen more modestly from January 2013 through January 2014.
  • SEF notional amounts have grown steadily, rising 28% since October 2013; SEF trading now represents roughly 40% of total rates notional amounts.
  • Total reported notional amounts grew across FRAs, fixed-floating IRS and OIS categories; the sharpest increases were observed in OIS which increased 196% from January 2013 through January 2014.
  • To date, the data do not indicate any meaningful changes to rates average daily trade size for any rates category.

Rates Summary Statistics

We begin this analysis by comparing aggregate rates taxonomy statistics below in Chart 1. Cleared monthly notionals have shown an increasing trend from January 2013 to January 2014, driving total rates notional amounts (cleared and uncleared) higher. Reported volumes have increased 188% since the beginning of 2013. Uncleared notionals have also shown increases throughout the year albeit to a lesser extent of 36%.

SEF traded notional amounts, which are a subset of cleared rates notional amounts, have grown steadily, increasing 28% from October 2013 through January 2014. SEF trades represented roughly 40% of total rates notional amounts in January 2014.

Cleared, uncleared and SEF traded trade counts increased throughout the period under study. Average daily trade size (not shown below) remained relatively stable, indicating that both trade counts and notionals continued to grow in tandem. This is an interesting statistic, as one might anticipate an increase in trade count accompanied by a decrease in notional amount given the introduction of SEFs.

Chart 1: Rates Cleared and Uncleared Total Notional Amount Traded
And Total Trade Count by Month

si-feb14-c1

FRA, Fixed-Floating and OIS Statistics

Forward Rate Agreement (FRA) total reported notional amounts climbed throughout the period, increasing 22% from January 2013 through January 2014. As highlighted in Chart 2 below, average daily cleared notionals increased 154% during the entire period under study. Uncleared daily average notional amounts were relatively steady.

SEF traded average daily notional amounts grew steadily, increasing 367% from October 2013 through January 2014.  Roughly 85% of cleared FRA transactions have been traded on SEF in the month of January. Additionally, SEF trading represented 76% of total FRA volume measured in terms of notional amounts.

Cleared, uncleared and SEF average daily trade counts also increased throughout the period under study. The largest increases were observed in the cleared and SEF traded series where trade counts increased roughly twice as much as the uncleared series. To date, the data do not indicate any meaningful changes to FRA average daily trade size.

Chart 2: Forward Rate Agreement (FRA) Cleared and Uncleared
Daily Average Notional Amount Traded and Trade Count 

si-feb14-c2

Fixed-floating IRS total reported notional amounts doubled throughout the period from January 2013 through January 2014. As highlighted in Chart 3 below, average daily cleared notionals increased 176% during the entire period under study. Uncleared daily average notional amounts were relatively steady.

SEF traded average daily notional amounts grew, increasing 40% from October 2013 through January 2014.  Roughly 47% of cleared fixed-floating IRS transactions have been traded on SEF in the month of January. Additionally, SEF trading represented 38% of total fixed-floating IRS volume measured in terms of notional amounts.

Cleared, uncleared and SEF average daily trade counts also increased throughout the period under study. Cleared average daily trade counts doubled while uncleared trade counts remained steady. SEF traded average daily trade counts grew by 52% from October 2013 through January 2014. To date, the data do not indicate any meaningful changes to fixed-floating IRS average daily trade size.

Chart 3: Fixed Floating IRS Cleared and Uncleared
Daily Average Notional Amount Traded and Trade Count 

si-feb14-c3

Overnight Index Swap (OIS) total reported notional amounts increased 196% from January 2013 through January 2014. As highlighted in Chart 4 below, this change was driven by both cleared and uncleared OIS. Average daily cleared notionals increased 56% during the entire period under study. Uncleared daily average notional amounts increased 16%.

SEF traded average daily notional amounts grew, increasing 53% from October 2013 through January 2014.  Roughly 33% of cleared OIS transactions have been traded on SEF in the month of January. Additionally, SEF trading represented 27% of total OIS volume measured in terms of notional amounts.

Cleared, uncleared and SEF average daily trade counts also increased throughout the period under study. Cleared average daily trade counts doubled while uncleared trade counts remained steady. SEF traded average daily trade counts grew by 52% from October 2013 through January 2014. To date, the data do not indicate any meaningful changes to fixed-floating IRS average daily trade size.

Chart 4: OIS Cleared and Uncleared
Daily Average Notional Amount Traded and Trade Count 

si-feb14-c4