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SwapsInfo
 * INTEREST RATE DERIVATIVES
   * EU
   * UK
   * US
 * CREDIT DERIVATIVES
 * WEEKLY ANALYSIS

 * INTEREST RATE DERIVATIVES
   * EU
   * UK
   * US
 * CREDIT DERIVATIVES
 * WEEKLY ANALYSIS

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.

Weekly Analysis

SUBSCRIBE TO WEEKLY ANALYSIS

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).

Created with Highcharts 3.0.7Trade CountTraded Notionalweekly traded notional
and trade countFixed-for-Floating IRSFRAsOISOtherTotal Trade CountMay 01 2021Jun
01 2021Jul 01 2021Aug 01 2021Sep 01 2021Oct 01 2021Nov 01 2021Dec 01 2021Jan 01
2022Feb 01 2022Mar 01 2022Apr 01 2022May 01 20220k20k40k60k80k100k$0$2.5 T$5.0
T$7.5 T$10.0 T$12.5 THighcharts.com



US 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).


EUROPEAN INTEREST RATE DERIVATIVES

Transaction Data

Weekly 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 VENUE

Weekly traded notional and trade count split by execution venues: TVs, SIs and
off-venue. (Source: European APAs and TVs).


US 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).




 * About Us
 * Methodology
 * Weekly Market Analysis
 * Contact Us
 * Legal
 * Privacy Policy

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