Methodology for IRD and Credit Derivatives Reported in the US

Data Coverage and Sources

The U.S. dataset includes interest rate derivatives (IRD) and index credit derivatives transactions reported under Commodity Futures Trading Commission (CFTC) regulations to the Depository Trust & Clearing Corporation (DTCC) and Bloomberg swap data repositories (SDRs), beginning in January 2013. (Note: Bloomberg SDR was operational from May 2014 through August 2018.)

The U.S. security-based swap dataset includes transactions reported under Securities and Exchange Commission (SEC) regulations to security-based swap data repositories (SBSDRs) operated by DTCC and ICE Trade Vault, with coverage beginning in February 2022.

Only newly executed trades are included in the dataset. Novations, terminations, and backfilled transactions are excluded to ensure consistency in trade activity tracking.

Trade Day Adjustment

To account for global trading hours, a trade day adjustment is applied. Trades executed after 4:00 PM EST are attributed to the following business day. After this adjustment, trades reported on Saturday are grouped with Friday’s activity, and those reported on Sunday are grouped with Monday’s trades.

Notional Conversion

Notional amounts reported with a “+” symbol (indicating a block trade) are converted to the minimum notional threshold (e.g., “1,000,000+” is reported as “1,000,000”). All values are then converted to U.S. dollars to ensure consistency.

Term Adjustment

IRD transactions may be spot-starting or forward-starting. Trades with a forward start of one year or less are grouped with spot-starting trades of the same tenor. For example, a 2-year swap with a 6-month forward start is grouped with spot-starting 2-year swaps. The term of a trade is defined as the length of time between the effective date and the end date of the contract.