The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared, non-cleared, swap execution facility (SEF) and off-SEF traded notional and trade count, as well as product taxonomy and currency information.
Key highlights for the third quarter of 2018 include:
- IRD traded notional rose by 14.5% to $53.8 trillion from $47.0 trillion in the third quarter of 2017. Trade count grew by 7.8% over the same period. The increase was mainly driven by US dollar- and sterling-denominated forward rate agreements (FRAs), US dollar- and euro-denominated fixed-for-floating interest rate swaps (IRS) and US dollar- denominated overnight index swaps (OIS). Trading in euro-denominated FRAs and euro- and sterling-denominated OIS declined quarter-over-quarter.
- Cleared IRD transactions represented 87.4% of total traded notional. About 96% of fixed-for-floating IRS, 99% of FRAs, 96% of OIS and 27% of other IRD traded notional was cleared.
- SEF-traded IRD represented 58.2% of total traded notional. About 58% of fixed-for- floating IRS, 81% of FRAs and 36% of OIS traded notional was executed on SEFs.
- Credit derivatives traded notional increased by 3.0% to $1.9 trillion from $1.8 trillion in the third quarter of 2017. Trade count grew by 5.7% over the same period. The increase was mainly driven by growth in iTraxx Europe traded notional, while CDX IG and CDX HY traded notional declined.
- Cleared credit derivatives represented 81.9% of total traded notional. About 98% of CDX HY, 98% of CDX IG, 97% of iTraxx Europe and 25% of other credit derivatives traded notional was cleared.
- SEF-traded credit derivatives comprised 77.8% of total traded notional. About 97% of CDX HY, 97% of CDX IG, 95% of iTraxx Europe and 12% of other credit derivatives traded notional was executed on SEFs.
Documents (1) for SwapsInfo Third Quarter of 2018 and Year-to-September 30, 2018 Review
Latest
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...
ISDA/IIF Response to EC Market Risk Consultation
On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...
ISDA Submits Letter on Environmental Credits
On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...