Swapsinfo Methodology

Interest Rate Derivatives

  1. Only new trades are included in our database. We exclude all novations, terminations or back-filled reported trades. Thus, reported trade dates begin no earlier than Jan 1, 2013.
  2. Trade Day adjustment: trading of IRS may occur over various hours given the global nature of liquidity centers. To account for trades conducted and reported overnight or on weekends a trade day adjustment is made. All trades executed after 4pm (EST) are pushed to the following business day. After that adjustment, trades reported on Saturday are grouped with Friday’s trades; while, trades reported on Sunday are grouped with Monday’s trades.
  3. Notional Conversion: reported notional amounts are converted in two ways. Any amounts that are reported with a “+” indicating a block trade are reported as the minimum amount. For example, 1,000,000+ would be reported as 1,000,000. Once this change has been applied, all notionals are denominated in US dollars.
  4. Term adjustment: in some cases, rates derivatives may be spot-starting or forward-starting. In the cases where they are forward-starting, we group terms according to the length of time between the reported date and the effective date. All trades where the time between the two dates is one year or less are grouped with like-tenor trades. (For example, a 2-year swap with a 6-month forward starting date would be grouped with spot-starting 2-year swaps.) NOTE: the term is defined as the amount of time between the effective date and the end date.

 

Credit Derivatives

  1. Only new trades are included in our database. We exclude all novations, terminations or back-filled reported trades. Thus, reported trade dates begin no earlier than Jan 1, 2013.
  2. Trade Day adjustment: trading of credit indices may occur over various hours given the global nature of liquidity centers. To account for trades conducted and reported overnight or on weekends a trade day adjustment is made. All trades executed after 4pm (EST) are pushed to the following business day. After that adjustment, trades reported on Saturday are grouped with Friday’s trades; while, trades reported on Sunday are grouped with Monday’s trades.
  3. Notional conversion: reported notional amounts are converted in two ways. Any amounts that are reported with a “+” indicating a block trade are reported as the minimum amount. For example, 1,000,000+ would be reported as 1,000,000. Once this change has been applied, all notionals are denominated in US dollars.