SBSDRView from Clarus takes transaction level transparency data and makes it simple to use, aggregate and monitor. We look at the most active corporate names in single name CDS trading since records began. We find that a significant portion of activity in concentrated in the Top 10 names, with close to half of all volumes […]

We recently published the blog Most Actives in CDS Trading, which covered the use of our API to access SEC SBSDR transaction data. This included python code to perform look-ups on security identifiers and build a table of the most active names traded in a given period. While simple enough to do for those with […]

In our latest data app, SBSDRView, we continue to interrogate the newly available transparency data from the SEC. In my blog last week, I took a first look at Total Return Swaps. Now, let’s take a look at Credit – and specifically single name CDS. What are the most active securities being traded? Using Our […]

In Feb 2022, I looked at BSBY and Term SOFR Swap Volumes, so today is an update for March and April. Term SOFR Using SDRView, exporting USD FixedFloat Swaps (so not OIS), filter on Term SOFR Reference Indices. The number of trades in a month increasing from: <10 in Oct 2021 342 in Dec 2021 603 […]

We are now getting our hands dirty with new public transparency data. Amir has covered this in a couple of blogs recently, and I have also used the Russian Federation CDS data from SBSDRs. For this blog, we’ll look in more detail at Total Return Swap data for Equities. What Is a Total Return Swap? […]

Following on from my blog, SEC Security-Based Swap Data Repositories Are Now Live, I wanted to take a look at Equity Total Return Swap volumes. OTC Equity Derivatives (USD) Let’s start by using SBSDRView to see the products and volumes reported for trades denominated in USD. TRS with @ 70,000 trades on each of Apr 6, […]

Swaptions activity has reacted to the huge sell off we have seen in Fixed Income markets during Q1 2022. There are no volume records being broken in Swaptions but we update one of our popular blogs from 2021 with fresh data. We take a look at Swaption strikes traded throughout the quarter. And we break-down […]

CCPView data shows that Open Interest in Russia CDS has decreased 13% from $9.4bn to $8.1bn. Over the same time period, average trade size in Russia CDS has decreased from $8.5m to below $5m. More trades are happening than we have seen previously, with February seeing nearly 1,000 trades. There was a single trade at […]

On February 14, 2022, public dissemination of security-based swap transactions under the Securities and Exchange Commissions (SEC) regulations went live. See the statement from Chairman Gary Gensler. Almost 9 years to the day of our first blog, Shining a light on Derivatives, covering the Swap Data Repository (SDR) operated by DTCC for the Commodity Futures […]

As we note today in What did January teach us about RFR trading, SOFR Swap and Futures volume hit an all time high of 28.4% of all USD risk traded, which is up 3% from the prior month. CME also put out a press release, noting SOFR Futures and Options record volumes on February 10, […]