As we have just enhanced our SDR View tool to show Credit trades from DTCC DDR, I thought I would look into the CDS Index trading activity and how it had been impacted by the first Dodd-Frank Act mandatory clearing deadline of March 11, 2013 and the second upcoming deadline of June 10, 2013.
Starting with the largest traded product CDS Index NA IG.
Uncleared Weekly Gross Notional
Cleared Weekly Gross Notional
From these we can observe the following:
- Uncleared Volumes prior to March 11 were consistently much higher than Cleared volumes; on average about 68% to 32% respectively.
- Cleared volumes decreased significantly in the 4 weeks leading up to the March 11 date, while Uncleared rose, on average about 15% to 85%.
- The week of March 18 had high volumes on both Cleared and Uncleared, associated with the index quarterly roll.
- After March 11, Cleared Volumes rose to be similar to UnCleared with the overall Total unchanged
- From May, Cleared Volumes have risen to be between $6-10 billion per week higher than Uncleared
- This is most likely due to firms impacted by the June 10 deadline, deciding to start clearing early.
- The percentage of Cleared trades has risen from 32% in January to around 58% now, which while a significant increase, is still much lower then the Cleared percentage observed for USD IR Swaps of 75%.
The iTraxx Europe Index shows similar trends.
Cleared Weekly Gross Notional