• Trade Information Warehouse Reports
    This section provides comprehensive reports on the vast majority of CDS contracts registered in the Warehouse's global repository.
  • Global Trade Repository Reports
    This section provides aggregate position level reporting for IRS contracts registered in the DTCC Data Repository’s Ltd’s Global Trade Repository.



Trade Information Warehouse Reports

These publicly available reports may not contain all live positions in the Warehouse as of a specified date if disclosing such positions could reveal, directly or indirectly, proprietary or confidential, financial, operational or trading data of a particular Warehouse participant ("User"), or inappropriately arranged groups of Users in such a way that may indicate the identity of the User or User group. 

 

Weekly Stock and Volume Reports

Explanation of Trade Information Warehouse Data (Updated May 24, 2011)

The data provided is divided into four sections. For detailed information, view the Explanation of Trade Information Warehouse Data.

Section I: Open Positions Data

Section I (Tables 1 - 8) provides data on all live positions in the Warehouse as of specified date.

Data includes transaction activity subject to delayed reporting due to the confidentiality provisions in our operating procedures, which restrict us from publishing data which may allow the identification of a party to the trading activity.

» Select data on all live positions, current and historical.

Historic Data by Year: 2014, 2013, 2012, 2011, 2010, 2009, 2008

Section II: Week-on-week activity change for Open Positions

Section II (Tables 9 - 16) provides information on the change in weekly activity for Trade Information Warehouse positions.

» Change in weekly activity as of specified date.

Historic Data by Year: 2014, 2013, 2012, 2011, 2010, 2009, 2008

Section III: All Transaction Activity

Section III (Tables 17 - 23) provides information on all transaction activity, such as new trades, assignments, and terminations that were confirmed within the specified week reflecting either an increase or decrease in overall positions.

» Weekly transaction activity as of specified date for all trades.

Historic Data by Year: 2014, 2013, 2012, 2011, 2010, 2009

Section IV: Market Risk Transaction Activity only

Section IV provides weekly activity where market participants were engaging in market risk transfer activity. The transaction types include new trades between two parties, a termination of an existing transaction, or the new leg of an assignment representing the trade between the step-in party and the remaining party. Section IV excludes transactions which did not result in a change in the market risk position of the market participants, and are not market activity. The Single Name table contains activity for top 1000 single name reference entities and the Index table contains information for indices with 10 positions or greater.

» Weekly market activity for top index and single name reference entities as of a specified date.

Historic Data by Year: 2014, 2013, 2012, 2011, 2010

 

Market Activity Reports

The data provided is divided into two sections, single name and index. For detailed information, view the Explanation of Market Activity Analysis Data.

Top 1000 Single Names: Aggregated Transaction Data by Reference Entity

 

Index Names: Aggregated Transaction Data by Reference Entity

 

Index Roll Report: Average Weekly Data by Reference Entity

In support of the name selection process for Markit Indices, DTCC is publishing an Index Roll Report which provides transparency on the top 1,000 single-name credit default swaps (CDS) traded pre semi-annual index roll. The top 1,000 names are determined by gross notional traded over a six-month period with an end date one month prior to the index roll date. The purpose is to support new evaluative measures in determining the composition of leading CDS indices. This file will be updated on a semi-annually based on the index roll calendar.

View a more detailed description of data 

 

Special Reports 


Standard Reference Obligation “SRO” Exercise

On May 21st, 2014, the ISDA SRO Workgroup requested that DTCC provide additional information to ISDA and Markit regarding trade volume and confirmation type for single name Credit Default Swap. This information will be used to assist the industry in determining which single name reference entity has enough trading volume to create a Standard Reference Obligation “SRO” name for the entity. To assist the industry with eligibility exercise, DTCC has put together a list containing Reference Entity names, Matrix Type, and volumes. The source of the volume numbers come from DTCC’s Trade Information Warehouse Reports under Section I, “Table 6”. Volume numbers will only be provided for those reference entity names on the “Gross and Net Notional Top 1000 Reference Entities”.

Live Positions for CDS Reference Entities (.xlsx)

Index Position Data by Tenor

DTCC is publishing the following special report to provide an analysis of Index Positions by Tenor. The data is as of 25-April-2014. The analysis was prepared using data available in the DTCC Trade Information Warehouse (TIW).

Index Table by Tenor as of 25-April-2014

Index Swaption Study

In an effort to provide additional transparency on Index Swaptions, DTCC has produced a Special Report that displays a snapshot of all positions as of March 21, 2014. In addition, DTCC has produced a second Special Report that displays the weekly average transaction activity on Index Swaptions for the last two quarterly roll periods. The analysis was prepared using data available in the DTCC Trade Information Warehouse (TIW).

Explanation of Data (PDF)

Index Swaption Positions as of 21-Mar-2014

Index Swaption Positions by Put/Call as of  21-Mar-2014

Index Swaption Transactions from 21-Sept-2013 to 20-Mar-2014

Loan CDS Transparency Report

In an effort to provide additional transparency in North American Loan CDS (LCDS) transactions, DTCC is publishing the following special 6 month report which includes aggregate volume data on the 25 most actively traded CDS Loans and aggregate volume data on a subset of reference entities which constitute the LCDX.16 and LCDX.17 Index. The data published represents new trades, terminations and assignments submitted and confirmed from and including September 3, 2011 to and including 24 Feb, 2012 . The LCDX.NA.16 and LCDX.NA.17 constituents are only listed if the reference entity was identified as having 5 or greater transactions submitted and confirmed during the observation period above.

 

Monthly Market Risk Volume Analysis

DTCC has produced this Special Report to provide an historical representation of market risk Credit trade volume, as measured by Contracts and Total Gross Notional USD Equivalent. The analysis covers transactions where market participants were engaging in market risk transfer activity. Risk transfer activity is defined as transactions that change the risk position between two parties.

Table_IV_Trend_July2010-July2013

 

On-the-run Credit Default Index Liquidity Report

Explanation of Market Liquidity – On-the-run Index Trading Report

The Depository Trust & Clearing Corporation (DTCC) is publishing this study on the liquidity of on-the-run credit default swap (CDS) indices over a period of time. This study was initiated at the request of the ISDA Credit Steering Committee and the Industry Clearing Committee. The analysis was prepared using data available in the DTCC Trade Information Warehouse (TIW). For further detail, please see attached Explanation Document.

 

Centrally Cleared Credit Trade Analysis

Explanation of Centrally Cleared Trade Analysis

DTCC is publishing the following special report to provide an analysis of percentage of central clearing for CDS trades for transactions executed for the period from September 1, 2012 through and including March 29, 2013. The analysis was prepared using data available in the DTCC Trade Information Warehouse (TIW). For further detail, please see attached Explanation Document.

 

Credit Open Positions by Counterparty Classification

The purpose of this analysis is to illustrate participant relationships by Dealer, Non-Dealer/Customer, and Central Counterparty. The data is organized across Single Names, Indices and Tranches, and provides aggregate gross notional for year-end 2011 and 2012. The analysis was prepared using data available in the DTCC Trade Information Warehouse (TIW).

 

Credit Event Special Report – SNS Bank N.V and Irish Bank Resolution Corporation Limited

 

Credit Event Special Report – Bankia S.A.

 

Additional Reference Entities
From April 19, 2013 to July 26, 2013 for Table 6

DTCC is publishing the following special report to identify References Entities that were not individually specified in Table 6 of Section I on this website during the period of April 19, 2013 to July 26, 2013. During this period data of the impacted Reference Entities were included as part of the "Remaining Single Names" aggregated line item, rather than as a unique named Reference Entity.

 

 

Global Trade Repository Reports

The DTCC Derivatives Repository Ltd. (“DDRL”) launched the Global Trade Repository for Interest Rates Swap (IRS) products in December 2011 to provide further transparency in the IRS marketplace and to facilitate data access for the regulatory community. Implementation of this service supports the commitment by major dealers to OTC Derivative Supervisors Group (ODSG) in the June 30th 2011 letter for making broad improvements in reporting of Over-The-Counter IRS transactions. Additionally, these dealers have worked with the DDRL and MarkitSERV. LLC (“MarkitSERV”) on an industry implementation plan that meets the goals of improved trade reporting timeliness and data quality reporting of IRS trades consistent with the principles and objectives of the OTC Derivatives Regulator Forum (“ODRF”).

Weekly Stock Reports

Explanation of GTR Data (Updated August 21, 2012)

Reports available here

Historic Data by Year: 2014, 2013, 2012

 

LIBOR Review

Explanation of LIBOR Review Data (Updated December 5, 2012)

LIBOR Data as of November 5, 2012