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News: Analysis of Pricing of Cleared and Un-Cleared Swaps from the US DTCC SDR

25 March 2013 | Amir Khwaja

Interesting posts by Bill on SwapClear publishing daily settlement prices and then by Ben on Moving on from Libor.  Following on from these it is interesting to note that DTCC DDR files contain data on prices as well as notionals of both cleared and un-cleared Swaps. This data can be aggregated to show the average price and gross notional traded in each currency and tenor. We have done this in our DDR View. A detailed write-up on my observations on USD swap data can be seen here, the screen shot on the right shows a snapshot of the pricing analysis. Amir K.


Comments

Thanks for your comment and feedback on the viewer. We are releasing a new version in a week with some enhancements, including graphs for each of the tables. If you do have any suggestions for enhancements please let us know. The gross notionals are just for trades reported on the date selected. The reason that there are still so many uncleared swaps is that from Mar 11 not all participants are required to clear, just Swap Dealers and Major Swap Participants. Others will be required to clear in June and there might also be a later date for another lot of participants. Also I expect some types of firms will have an exemption as pension funds will under EMIR.

Amir- thanks very much for posting a link to the DDR tool, i am finding it highly useful and informative.Can you please clarify whether the gross notionals for each day represent the notional amount executed on that day? Or do they represent the total notional prevailing in on that day? I ask because, for March 27th 2013, on the "InterestRate:IRSwap:FixedFloat" screen, the uncleared gross notionals are non-zero for USD swaps post March 11th 2013. This suggests that they're notionals for swaps executed prior to March 11th, as that one can no longer trade USD vanilla uncleared swaps. But yet, the sum of the gross total notionals across all currencies is only $100bn, which is only 0.027% of the $379Trn IRS outstanding according to the June 2012 BIS report. Thanks

Reblogged this on Carl A R Weir's Blog.

Last month, I posted a blog titled Analysis of Pricing of Cleared and Un-Cleared Swaps from the US DTCC SDR.