ISDA SwapsInfo brings greater transparency to the over-the-counter (OTC) derivatives markets. It transforms publicly available data on OTC derivatives trading volumes and exposures into information that is easy to chart, analyze and download. ISDA SwapsInfo covers interest rate derivatives (IRD) and credit derivatives markets.

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SwapsInfo Weekly Analysis is distributed by email every Monday and gives readers a snapshot of the year-to-date and weekly trends in IRD and credit derivatives transactions reported to the Depository Trust & Clearing Corporation (DTCC) and Bloomberg swap data repositories (SDRs). It also provides a review of year-to-date and weekly trading volumes of IRD referencing alternative risk-free rates (RFRs) and major interbank offered rates (IBORs).

Interest Rate Derivatives

Transaction Data

Daily, weekly and quarterly traded notional and trade count by product taxonomy. The data only includes trades that are required to be disclosed under US regulatory guidelines beginning January 2013 (Source: Depository Trust & Clearing Corporation (DTCC) and Bloomberg swap data repositories (SDRs)).

Notional Outstanding

Notional of all IRD contracts outstanding on the reporting date (Source: Bank for International Settlements (BIS) Semiannual OTC Derivatives Statistics).

Gross market value is the sum of the absolute values of all outstanding IRD contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date (Source: BIS Semiannual OTC Derivatives Statistics).

Trading Venue

Weekly traded notional and percentage of swap execution facility (SEF)-traded notional calculated relative to traded notional by product (Source: DTCC and Bloomberg SDRs).

CLEARING

Weekly traded notional and percentage of cleared notional calculated relative to traded notional by product (Source: DTCC and Bloomberg SDRs).

Credit Derivatives

Transaction Data

Daily, weekly and quarterly traded notional and trade count by product taxonomy. The data only includes trades that are required to be disclosed under US regulatory guidelines beginning January 2013 (Source: Depository Trust & Clearing Corporation (DTCC) and Bloomberg swap data repositories (SDRs)).

Market Risk Activity

Traded notional and trade count for single-name and index credit default swaps (CDS) include only transactions where market participants were engaging in market risk transfer activity. Risk transfer activity is defined as transactions that change the risk position between two parties. These transaction types include new trades between two parties, a termination of an existing transaction, or the assignment of an existing transaction to a third party. Measured on a weekly basis with a one-month delay. Data is only available for six months (Source: DTCC Trade Information Warehouse (TIW)).

Notional Outstanding

Gross and net notional outstanding and trade count for single-name and index CDS. Measured on a weekly basis with a one-month delay. Data is only available for six months (Source: DTCC TIW).

Gross notional represents the sum of the nominal values for CDS contracts bought (or equivalently sold) for all DTCC Warehouse contracts in aggregate.

Net notional is the sum of the net protection bought by net buyers (or equivalently net protection sold by net sellers). Net notional represents the aggregate payments that would be made in the event of a default of a reference entity, assuming the market value of defaulting bonds is equal to zero.

Trading Venue

Weekly traded notional and percentage of swap execution facility (SEF)-traded notional calculated relative to traded notional by product (Source: DTCC and Bloomberg SDRs).

CLEARING

Weekly traded notional and percentage of cleared notional calculated relative to traded notional by product (Source: DTCC and Bloomberg SDRs).