April 30, 2019
The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency.
Key highlights for the first quarter of 2019 include:
- IRD traded notional rose by 5.0% to $69.9 trillion from $66.6 trillion in the first quarter of 2018. Trade count grew by 3.3% over the same period to 377,229 from 365,305. Single currency fixed-for-floating interest rate swaps (IRS) traded notional increased to $20.2 trillion from $19.6 trillion. Forward rate agreements (FRAs) traded notional rose to $27.1 trillion from $24.0 trillion, and overnight index swaps (OIS) traded notional increased to $14.3 trillion in the first quarter of 2019 from $14.2 trillion in the first quarter of 2018.
- Cleared IRD transactions represented 88.9% of total traded notional and 83.9% of trade count. About 96% of fixed-for-floating IRS, 100% of FRA, 95% of OIS and 26% of other IRD traded notional was cleared.
- SEF-traded transactions represented 60.0% of total traded notional and 62.6% of trade count. About 59% of fixed-for-floating IRS, 84% of FRA, 30% of OIS and 38% of other IRD traded notional was executed on SEFs.
- Credit derivatives traded notional decreased by 13.7% to $2.4 trillion from $2.7 trillion in the first quarter of 2018. Trade count fell by 6.3% to 63,080 from 67,344 over the same period. CDX HY traded notional decreased by 18.4% and CDX IG traded notional decreased by 6.2% compared with the first quarter of 2018. CDX HY traded notional fell to $360.7 billion from $441.9 billion and CDX IG traded notional declined to $891.4 billion from $950.6 billion. iTraxx Europe traded notional decreased by 5.7% to $470.5 billion in the first quarter of 2019 from $499.1 billion in the first quarter of 2018.
- Cleared transactions represented 81.0% of total traded notional and 80.8% of trade count. About 98% of CDX HY, 99% of CDX IG, 96% of iTraxx Europe and 34% of other credit derivatives traded notional was cleared.
- SEF-traded credit derivatives represented 77.5% of total traded notional and 78.2% of trade count. About 97% of CDX HY, 98% of CDX IG, 94% of iTraxx Europe and 25% of other credit derivatives traded notional was executed on SEFs.
Click on the PDF below to read the full report.
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