I last looked at the most active trading names in CDS and TRS in May 2023, so today I will look at August 2023 data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in August 2023. The above list was a […]

Let’s update my blog on IDB Market Share in SOFR Swaps with the most recent data and expand the coverage to also include D2C venues. Types of SOFR Swaps SOFR Swaps in the IDB (inter-dealer broker, D2D) market trade primarily as Spreadovers to US Treasuries. This is by far the most frequent trade type in […]

Last month I looked at the most active trading names in CDS and TRS in April 2023, so today I will update that for May 2023. This data is from U.S. SEC Securities Based Swap Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in May 2023. […]

I last looked at the most active trading names in CDS and TRS in January 2023, so today I will update that for April 2023 data. This data is from U.S. SEC Securities Based Swap Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for Credit Derivatives trades in April […]

Types of SOFR Swaps SOFR Swaps in the IDB (inter-dealer broker) market trade primarily as Spreadovers to US Treasuries. This is by far the most frequent trade type for IDBs, with the highest volume in notional or dv01 terms and the most important in setting prices of SOFR Swaps. Next are Curve/Switch trades, which are […]

Transparency data allows us to look at the distribution of risk across the curve. We may be used to seeing activity concentrated in benchmark tenors such as 2Y, 5Y, 10Y and 30Y in US markets, but have SOFR swaps developed in a similar manner? As a starter the ISDA-Clarus RFR Adoption Indicator shows the amount […]

Late last year I looked at the SEC Securities Based SDRs (SBSDRs) for the Most Active Names in Credit and Equity Derivatives in Oct22, so today I will update that blog for the entity names that were most actively traded in the month of January 2023. CDS on Sovereigns Using SBSDRView, we can find the […]

Late last year, on Dec 5th, US Swap Data Repositories (SDRs) went live with CFTC’s amended swap data reporting framework (a.k.a CFTC re-write). This incorporates CPMI-IOSCO harmonised data elements (e.g. UTI and UPI) and introduces new data elements. For CFTC Part 43 public dissemination, there are two very interesting new data elements: Let’s look at […]

Earlier this summer we looked at the SEC Securities Based SDRs (SBSDRs) for the Most Active Equity Total Return Swaps and Most Active CDS Single-names. Today I will use SBSDRView to look at which names have been most active in October 2022. CDS on Sovereigns Let’s start with the twenty most active sovereigns by trade […]

Since our First Look at Total Return Swaps blog, we have added a Most Actives view in SBSDRView. This identifies the most active stocks on which TRS are transacted and below I look at what this data shows. Number of trades The two main derivative products in SBSDRs for Equities are Total Return Swaps (TRS) […]