SwapsInfo Third Quarter of 2018 and Year-to-September 30, 2018 Review

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

Joint Paper on UK EMIR Reform

On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...

Response to FCA on UK EMIR Reporting

On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...

CDS Trading Activity in EU, UK and US Markets

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...