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Sources Rates, Credit and FX trades from the DTCC US DDR and Bloomberg SDR

Sources indicative mid prices from ICAP’s global brokerage operations

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Latest Posts

  • Sep, 3

    USD SOFR Volumes Aug 2019

    SOFR Swap trade counts hit a new high in August Outrights and Basis both much higher than prior months Outrights are all Off SEF with a significant portion Uncleared Basis are mostly On SEF (by trade count) TP-ICAP with tpSEF and TraditionSEF vying for top spot 5Y is emerging as the most frequently traded tenor […]

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    Apr, 2

    USD Swap Spreads Review Q1 2019

    Swap Spreads, aka Spreadovers, have recently turned negative again in the US. They rebounded back into positive territory fairly quickly. This is against a background of all-time record volumes in USD swaps reported to US SDRs. Should Swap Spreads be at zero versus SOFR after LIBOR disappears? Negative Again In case you missed it, Swap […]

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  • Dec, 12

    What is Left Uncleared in 2018?

    We take a look at the total size of uncleared derivative markets. FX Options are the largest Uncleared market, followed by Swaptions and NDFs. Cross Currency swaps are the fourth largest uncleared market. Around $5.5trn each month trades uncleared – almost equivalent to the US market for cleared IRS. Uncleared Markets The death of uncleared […]

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    Dec, 4

    LIBOR Basis Swaps

    For the first time, basis trading reported to the SDRs has topped $1trn in a single month. Similarly, global basis trading has now topped $2trn cleared at LCH SwapClear in a single month. We see that average maturity of basis trades varies according to the indices being traded. Activity in 30y and 50y basis trading […]

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  • Jul, 9

    How Much Data Do We Have?

    We saw record cleared volumes in vanilla IRS in June 2018. We take a look at the data behind these records. SDR data covers 60% of cleared volumes in USD swaps. SDR data also covers non-USD swaps and we quantify exactly what proportion of the market it covers. Introduction With MIFID data soon to be […]

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    Apr, 9

    Cross Currency Swaps and Libor-OIS

    USD can be funded domestically or in international funding markets. These two funding markets create natural links between Libor-OIS spreads and Cross Currency Basis. We saw record volumes in USD Libor-OIS trading over the past three months. We also saw record notional volumes traded in Cross Currency Basis during Q1 2018. However, when we look […]

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  • Feb, 27

    All time record volumes in Cross Currency Swaps

    January 2018 saw all time notional volume records in Cross Currency Swaps. Some of this volume was in short-dated USDJPY products. BGC captured a large portion of the uptick in volumes, seeing a 40% market share for on-SEF products. We need to be able to see European volumes to improve our understanding of this important […]

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    Feb, 14

    Entity Netted Notionals – Turning $179 trillion into $15 trillion

    The Office of the Chief Economist at the CFTC, recently published the research paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets“, which I found very interesting. This paper argues that gross notional , a common measure of the size of swap markets, does not accurately represent the amount of risk […]

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