swap-data-repository

CDSIndex Product in SDRView Professional

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ClarusFT discuss data on CDS trading in their SDRView service.

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Regulation Reflections: US Reporting - Is systemic risk being de-prioritized?

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It is clear CFTC does not yet have meaningful systemic risk information from the end of day / historic SDR reporting which has been live for several months.  As well as tackling a very large big data project which is unfunded, CFTC needs to change the reporting rules so that reporting obligations are better split across various service providers to drive much more efficient data collection, transformation and aggregation.

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Cross Currency Swaps in Swap Data Repositories

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In the majority of my previous articles on what we can see in SDRs, I have focused on Interest Rate Swaps and in particular Cleared Interest Rate Swaps. In this article, I will look into an Uncleared (Bi-lateral) product, namely Cross Currency Swaps. For my observations on this reported trade data, please click Cross Currency Swap trades in SDRs.

 

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Trading on SEFs from October 2nd was Day One. What does the SDR Data show?

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As yesterday was the first day for Swap Execution Facilities (SEF) trading, I decided to look at what the data in a Swap Data Repository (SDR) can tell us about what happened on Day 1.

The DTCC real-time public dissemination feed has a field name "Execution Venue", which prior to Oct 2 always had the value "Off", but from yesterday we can see new trades with the value "On" (meaning On a SEF venue) and "Off" (meaning off Facility).

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The week that was (Dazzling Derivatives; issue of 30th September 2013)

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Dear all, Back after a refreshing holiday - please receive the latest news digest on the dazzling world of derivatives. From this week onwards I will add "pagination" to the Dazzle - this means that you will find each separate area of the newsletter (e.g. Regulation Europe, Infrastructure, etc.) on its own page (look for the Pages 1,2,3,4,6 underneath the Like button). (FYI, some articles require a subscription (e.g. RISK, Financial News), others a free registration (e.g. Tabb Forum, DerivSource))

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SDRFix, a Progress Report Two Weeks After Launch

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On Sep 11, we went public with SDRFix and started publishing this daily on our website at SDRFix Data.  In this article I am going to summarise our progress, lessons learned and our plans going forward.

SDRFix USD IRS

 

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SDRFix, a new index for a post-reform world | Clarus Financial Technology

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London, September 11, 2013 – Clarus Financial Technology today announces SDRFIX, a new index for a post-reform world. The SDRFIX index is based on actual transactions data sourced from the US Swaps Data Repository (SDR), DTCC DDR. This new index complies with the recommended practices specified in the IOSCO paper “Principles for Financial Benchmarks “, July 2013.

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The week that was (Dazzling Derivatives; issue of 6th September 2013)

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Dear all, this edition of the 'Dazzle' comes on a Friday as I will be off for the next two week - keep an eye open for what's happening in the derivatives markets.

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