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 repository (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).
US Interest Rate Derivatives
Transaction DataWeekly and quarterly traded notional and trade count by product taxonomy. This data only includes transactions that are required to be disclosed under Commodity Futures Trading Commission regulations beginning January 2013. Security-based swap transactions reported under Securities and Exchange Commission regulations are not included in this data (source: Depository Trust & Clearing Corporation (DTCC) swap data repository (SDR)).
Execution VenueWeekly traded notional and percentage of swap execution facility (SEF)-traded notional calculated relative to traded notional by product (source: DTCC SDR).
CENTRAL CLEARINGWeekly traded notional and percentage of cleared notional calculated relative to traded notional by product (source: DTCC SDR).
European Interest Rate Derivatives
Transaction DataWeekly traded notional and trade count by product taxonomy. The data includes transactions reported by approved publication arrangements (APAs) and trading venues (TVs) located in the EU and UK. The data is available only starting in May 2021. The data is displayed with a five-week delay due to the post-trade transparency deferrals (source: European APAs and TVs).
EXECUTION VENUEWeekly traded notional and trade count split by execution venues: TVs, SIs and off-venue (source: European APAs and TVs).
CENTRAL CLEARINGPercentage of cleared notional and trade count calculated relative to weekly traded notional and trade count (source: European APAs and TVs).
Global Interest Rate Derivatives
Notional OutstandingNotional of all IRD contracts outstanding on the reporting date. 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).
Please note that IRD product classification in the BIS statistics is different from the product classification in DTCC and Bloomberg SDRs.
US Index Credit Derivatives CFTC
Transaction DataWeekly and quarterly traded notional and trade count by product taxonomy. This data only includes transactions that are required to be disclosed under Commodity Futures Trading Commission regulations beginning January 2013. Security-based swap transactions reported under Securities and Exchange Commission regulations are not included in this data (source: Depository Trust & Clearing Corporation (DTCC) swap data repository (SDR)).
EXECUTION VENUEWeekly traded notional and percentage of swap execution facility (SEF)-traded notional calculated relative to traded notional by product (source: DTCC SDR).
CENTRAL CLEARINGWeekly traded notional and percentage of cleared notional calculated relative to traded notional by product (source: DTCC SDR).
US Security-based Credit Derivatives SEC
Transaction DataWeekly traded notional and trade count by product taxonomy. This data only includes security-based swap transactions reported under Securities and Exchange Commission regulations to DTCC security-based swap data repository beginning February 2022. It does not include any transactions that are required to be disclosed under Commodity Futures Trading Commission regulations. Other includes total return swaps, index, exotic, index tranche, swaptions, and other single-name swaps (e.g., asset-backed, loan, and municipal security-based swaps) (source: DTCC and ICE Trade Vault SBSDRs).
CENTRAL CLEARINGWeekly traded notional and percentage of cleared notional calculated relative to traded notional by product. Cleared includes transactions that have been cleared or intended to be cleared by a central counterparty (source: DTCC and ICE Trade Vault SBSDRs).
Global Credit Derivatives
Market Risk ActivityTraded notional and trade count for single-name and index CDS include only transactions where market participants were engaging in market risk transfer activity. Measured on a weekly basis with a one-month delay. Data is only available for six months (source: DTCC Trade Information Warehouse (TIW)).
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.
Notional OutstandingGross 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.