The ISDA SwapsInfo 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. The summary was published on January 15, 2019.
Key highlights for the full year 2018 include:
- IRD traded notional rose by 21.9% to $236.4 trillion from $193.9 trillion in the full year 2017. Trade count grew by 13.5% over the same period. Single currency fixed-for-floating interest rate swaps (IRS) traded notional increased by 25.0%, while forward rate agreements (FRAs) and overnight index swaps (OIS) traded notional grew by 20.8% and 12.7%, respectively, in the full year 2018 compared with the full year 2017.
- Cleared IRD transactions represented 88.1% of total traded notional, compared with 87.6% in the full year 2017. About 96% of fixed-for-floating IRS, 99% of FRA, 97% of OIS, and 31% of other IRD traded notional was cleared in 2018.
- SEF-traded swaps represented 55.8% of total traded notional, compared with 54.9% in the full year 2017. About 58% of fixed-for-floating IRS, 79% of FRA, 31% of OIS and 37% of other IRD traded notional was executed on SEFs in 2018.
- Credit derivatives traded notional increased by 39.2% to $9.5 trillion from $6.8 trillion in the full year 2017. Trade count grew by 30.3% over the same period. There was more trading activity across all major indices, including CDX HY, CDX IG and iTraxx Europe. CDX HY traded notional increased by 51%, while CDX IG traded notional rose by 52.2% in the full year 2018 compared with the full year 2017. iTraxx Europe traded notional increased by 27.9% over the same period.
- Cleared transactions represented 82.8% of total traded notional, compared with 79.8% in the full year 2017. About 98% of CDX HY, 98% of CDX IG, 97% of iTraxx Europe and 49% of other credit derivatives traded notional was cleared.
- SEF-traded credit derivatives represented 78.8% of total traded notional, compared with 74.9% in the full year 2017. About 97% of CDX HY, 97% of CDX IG, 94% of iTraxx Europe and 40% of other credit derivatives traded notional was executed on SEFs.
Click on the attached PDFs to read the summary and/or full report.
Documents (2) for SwapsInfo Full Year 2018 and Fourth Quarter of 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...