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Repository Reporting OTC Data


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. 

 

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.

 

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