The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on swap execution facility (SEF) and bilateral trading volumes, as well as cleared and non-cleared activity.

IRD and credit derivatives traded notional and trade count data is taken from the ISDA SwapsInfo website (swapsinfo.org), using information from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories (SDRs). This report covers only trades required to be disclosed under US regulatory guidelines.

Key Highlights for Second Quarter of 2018 and First Half of 2018

Interest Rate Derivatives

IRD traded notional and trade count continued to increase in 2018. In the first half of the year, IRD traded notional and trade count rose by 23.2% and 16.4%, respectively, compared to the first half of 2017. The increase was mainly driven by US dollar-denominated forward rate agreements (FRAs), US dollar and euro-denominated fixed-for-floating interest rate swaps (IRS) and sterling-denominated overnight index swaps (OIS).

In the second quarter of 2018:

• IRD traded notional rose by 17.1% to $59.5 trillion from $50.8 trillion in the second quarter of 2017. Trade count grew by 13.5% over the same period, to 335,917 from 295,841.
• Single currency fixed-for-floating IRS accounted for 66.2% of total IRD trades, but represented only 31.1% of IRD traded notional. FRAs and OIS represented 31.2% and 23.3% of traded notional and 13.7% and 5.3% of total trade count, respectively.
• Cleared IRD transactions represented 87.4% of total traded notional and 81.3% of trade count. About 96% of fixed-for-floating IRS, 99% of FRAs, 97% of OIS and 29% of other IRD traded notional was cleared.
• SEF-traded transactions represented 55.7% of total traded notional and 61.4% of trade count. About 57% of fixed-for-floating IRS, 80% of FRAs and 33% of OIS traded notional was executed on SEFs.
• IRD contracts denominated in US dollars remained the most actively traded instruments, contributing 65.1% of traded notional and 51.8% of trade count. Euro-denominated transactions accounted for a far smaller percentage of notional (13.9%) and trade count (15.7%).

In the first half of 2018:

• IRD traded notional increased to $125.8 trillion from $102.1 trillion in the first half of 2017. Trade count grew to 701,189 from 602,468.
• Cleared IRD transactions represented 88.1% of total traded notional, compared with 88% in the first half of 2017.
• SEF-traded swaps represented 56.2% of total traded notional, compared with 55.3% in the first half of 2017.
• Single currency fixed-for-floating IRS accounted for 64.9% of total IRD trades, but represented only 30.2% of IRD traded notional. FRAs and OIS represented 33.8% and 22.3% of traded notional and 15.1% and 5.2% of total trade count, respectively.
• IRD contracts in US dollars remained the most actively traded instruments, contributing 67.3% of traded notional and 53.1% of trade count. Euro-denominated transactions accounted for 13.8% of traded notional and 15.5% of trade count.

Credit Derivatives

Credit derivatives traded notional and trade count also increased in 2018 compared with the prior year. In the first half of 2018, credit derivatives traded notional and trade count grew by 43.1% and 23%, respectively, compared to the first half of 2017. The increase was mainly driven by a 62.3% growth in CDX IG traded notional and a 55.7% rise in CDX HY traded notional.

In the second quarter of 2018:

• Credit derivatives traded notional increased by 35.9% to $2.2 trillion from $1.7 trillion in the second quarter of 2017. Trade count grew by 27% to 60,692 over the same period.
• CDX HY and CDX IG represented 15.4% and 31.6% of traded notional and 26.3% and 21.5% of total trade count, respectively. iTraxx Europe accounted for 33.5% of total credit derivatives traded notional and 30.9% of total trade count.
• Cleared transactions represented 83.3% of total traded notional and 83.3% of trade count. About 98% of CDX HY, 98% of CDX IG, 97% of iTraxx Europe and 24% of other credit derivatives traded notional was cleared.
• SEF-traded credit derivatives represented 79.5% of total traded notional and 79.9% of trade count. About 97% of CDX HY, 97% of CDX IG, 94% of iTraxx Europe and 11% of other credit derivatives traded notional was executed on SEFs.
• Credit derivatives contracts denominated in US dollars remained the most actively traded instruments, representing 61.6% of total traded notional and 66.1% of trade count. Euro-denominated transactions accounted for 38.3% and 33.7% of traded notional and trade count, respectively.

In the first half of 2018:

• Credit derivatives traded notional increased to $4.9 trillion from $3.4 trillion in the first half of 2017. Trade count grew to 126,347 from 102,736 over the same period.
• Cleared transactions represented 83.5% of total traded notional, compared with 78.8% in the first half of 2017.
• SEF-traded credit derivatives represented 79.4% of total traded notional, compared with 74.1% in the first half of 2017.
• CDX HY and CDX IG represented 16% and 33.7% of traded notional and 27.4% and 22.5% of total trade count, respectively. iTraxx Europe accounted for 30.9% of total credit derivatives traded notional and 28.8% of total trade count.
• Credit derivatives contracts denominated in US dollars remained the most actively traded instruments and represented 64.7% of traded notional and 68.2% of trade count. Euro-denominated transactions accounted for 35.1% and 31.4% of traded notional and trade count, respectively.