Those of you that read my blog post SDR, Block Trade Rule, 30 July Update will know that from 30th July, we moved from the interim period to the initial period.
One of the main changes introduced was that capped notionals were increased and that blog has the before and after tables for US IRS Swaps.
Well after a week and a half of running with the new sizes (from July 30 to August 9th), DTCC DDR has now reverted back to the interim period capped notionals. You can see that as the DTCC DDR dashboard provides a very useful daily Cap Number report.
The reason for the change is that “additional clarification was received regarding the application of capping for Rates and Credits which conflicted with the original design”. This updated logic will be implemented on September 20.
I won’t bore you with the details of the changes for Credit & Rates (leaving that pleasure for a blog just after Sep 20th), except for the titbit “The CFTC clarified that for cross currency swaps, a conservative approach should be taken whereby the lesser currency category, tenor and notional amount is used when determining block threshold”. Which sounds very reasonable.
So why does all this matter?
Well if you are looking at volume trend history covering the period prior to July 30 and the period up to and after August 9, then the notional volumes between July 30 and August 9 are not directly comparable. The reason being that these utilise much higher capped notionals.
So you have been warned.
If you care about this, then please email us (firstname.lastname@example.org) and we will consider adjusting the figures for that period.
If not, c’est la vie.
Welcome to the world of data, assumptions and corrections.
I leave you with the thought that “Excel is your friend”