Two new data sources and one old one are now available for tracking OTC derivatives volumes, and smart people are already making widgets and tools for easy analysis. We think that this is what transparency will also mean under proposed data repository rules for securities lending and repo. The experience of OTC derivatives data repositories is worth noting for securities finance people thinking about these matters and how their businesses might be affected.
1) DTCC data
Amir Khwaja from ClarusFT (a consultancy launched by former senior Calypso people) presented yesterday his firm’s DDR View, which takes DTCC’s Derivatives Repository (DDR) data and presents it in easy to view tables. Here’s a link to his write-up. The data are really fascinating. Here are a couple of data observations that ClarusFT makes:
– The price differences between UnCleared and Cleared Swaps can be observed and is sizeable.
– Swap Desks should be able to work out their own daily market share in a currency, product and tenor; so no more claims of market share without the figures to back them up.
– This dominance in trade volumes of standard tenors, lends credence to the argument that Swap Futures or Note Futures may be able to serve as an alternative to Swaps. (Note: this last point is of course close to our hearts. We put out a report last week on the Futurization of Swaps Markets and have a technical brief on the topic coming out early next week.)
2) LCH.Clearnet data
Bill Hodgson at the OTC Space has pointed out LCH.Clearnet’s SwapClear data, which say that “final settlement prices are published once daily for swaps in all currencies eligible for registration at LCH.Clearnet.” The data present IRS (and OIS for major currencies). Both data types are sure to be used as a sanity check against LIBOR submissions in the future. Here’s a link to the SwapClear data page.
3) ISDAFIX
ISDAFIX data were launched in 1998 and are collected by Thomson Reuters and distributed on the major market data terminals. According to ISDA, “ISDAFIX rates are based on a midday and, additionally in some markets, end-of-day polling of mid-market rates.” The data are not publicly available, at least not summary data on the Internet like DTCC and SwapClear are providing. Still, for those willing to pay, ISDAFIX is pretty good. Here’s a data sample:
We think that data repositories in securities lending and repo are going to end up looking mostly like DTCC’s DDR, at least for the general public. The public should be able to evaluate top level statistics and get a general sense of the market – that should help policy makers and also the general public to better understand what securities lending and repo are and how they function. We see this aspect of data repositories as a net positive for securities finance.
Underneath the hood we expect further transparency for regulators but not the general public, also akin to what DTCC is providing. We think that so long as the distinction between private and public data is maintained, securities finance ought to be in good shape. The OTC derivatives data from DTCC and SwapClear are a great roadmap.