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Article: CDSIndex Product in SDRView Professional

27 January 2014 | Amir Khwaja

As we recently released the CDSIndex product in SDRView Professional, I decided to look at what the SDR data shows.

 

CDS Index NA

Lets start with a chart of the daily volumes on 24 Jan 2014, of the major North American indices; IG, HY and EM.

This shows the following:

  • IG 5Y (Dec18) has by far the highest volume at almost $24 billion.
  • Of this On SEF is $12.9 billion and Off SEF is $10.6 billion
  • HY 5Y is the next highest at $8.5 billion of which On SEF is $3.6b and Off SEF is $4.8b
  • EM 5Y is $1.2b
  • IG 10Y has very low volume
  • Across these 4 Indices more than $33billion is traded on this day.

On SEF vs Off SEF

Now lets look at separate tables of trade counts, gross notionals and prices.

Firstly On SEF:

Then Off SEF:

From these we can observe the following for 24 Jan 2014:

  • The overall gross notional for the 3 Indices between On SEF and Off SEF is similar at $16 billion.
  • The number of trades is higher for On SEF at 450 vs 386 for Off SEF
  • The average notional per trade is similar between On SEF and Off SEF
  • The Avg Price is very close for HY, but less so for IG & EM.
  • High and Low prices look tighter for On SEF
  • More Off SEF trades are larger than the Capped size; 61 vs 38.
  • Volumes are understated due to these Capped sizes
  • The IG Capped Size is $110m, the HY $100m
  • So the overall $32 billion is probably understated by at least $10 billion.

Cleared vs Uncleared

Now lets look at tables of Cleared and Uncleared volumes.

First Cleared.

Then UnCleared:

Which simply tells us that:

  • a lot more trades (664 vs 171) are Cleared than UnCleared
  • or $25 billion vs $7billion.

ITraxx Europe?

Lets now take a quick look at Europe.

From which we see that on 24 Jan 2014:

  • 635 trades representing more than €17 billion in notional is traded
  • With the main iTraxx Europe Index representing more than €10 billion
  • Followed by CrossOver at €4 billion and Senior Fin at €2 billion
  • Average trade size is lowest for Cross Over at €15 million

Summary

  • CDSIndex intra-day trading activity is now available in SDRView Professional.
  • CDX.NA.IG.5Y is the most traded index, with more than $24 billion on 24 Jan 2014.
  • ITraxxEurope 5Y is the next most traded (€10b), followed by CDX.NA.HY ($8b).
  • Other than 5Y maturity, hardly anything trades.
  • For CDX, On SEF and Off SEF Volumes are similar, while for iTraxx Europe, Off SEF are higher.
  • Cleared volumes are much higher than Uncleared.
  • Capped sizes for CDX.NA.IG.5Y of $110 million, mean that 25% of trades are impacted, leading to an understating of notionals.
  • Trade prices with Avg, High, Low and Last can be readily observed.

I invite you to sign-up for a free trial and see the CDSIndex trading activity for yourself.