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March 25, 2013

Analysis of Pricing of Cleared and Un-Cleared Swaps from the US DTCC SDR

Interesting posts by Bill on SwapClear publishing daily settlement prices and then by Ben on Moving on from Libor.  Following on from these it is interesting to note that DTCC DDR files contain data on prices as well as notionals of both cleared and un-cleared Swaps. This data can be aggregated to show the average price and gross notional traded in each currency and tenor. We have done this in our DDR View. A detailed write-up on my observations on USD swap data can be seen here, the screen shot on the right shows a snapshot of the pricing analysis. Amir K.


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