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, product taxonomy and currency.

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 those trades required to be disclosed under US regulations.

Key highlights for the third quarter of 2019 include:

• IRD traded notional rose to $69.0 trillion from $53.9 trillion in the third quarter of 2018. Trade count grew to 405,799 from 303,615 over the same period. Single currency fixed-for-floating IRS traded notional increased to $18.7 trillion from $15.9 trillion. FRA traded notional rose to $22.7 trillion from $18.7 trillion, and OIS traded notional increased to $19.6 trillion from $11.7 trillion in the third quarter of 2018.
• Cleared IRD transactions represented 90.0% of total traded notional and 83.4% of trade count. 95.9% of fixed-for-floating IRS, 99.5% of FRA, 97.0% of OIS and 31.2% of other IRD traded notional was cleared in the third quarter of 2019.
• SEF-traded IRD represented 55.4% of total traded notional and 60.9% of trade count. About 58.4% of fixed-for-floating IRS, 78.4% of FRA, 32.9% of OIS and 37.7% of other IRD traded notional was executed on SEFs in the third quarter of 2019.
• Credit derivatives traded notional increased to $2.3 trillion from $1.9 trillion in the third quarter of 2018. Trade count rose to 61,103 from 50,922 over the same period. CDX HY traded notional increased by 48.5% to $387.0 billion from $260.6 billion in the third quarter of 2018. CDX IG traded notional increased by 51.6% to $902.9 billion from $595.4 billion in the third quarter of 2018. iTraxx Europe traded notional grew by 21.8% to $452.2 billion from $371.2 billion in the third quarter of 2018.
• Cleared transactions represented 81.3% of total traded notional and 82.5% of trade count. 97.4% of CDX HY, 99.0% of CDX IG, 91.5% of iTraxx Europe and 36.3% of other credit derivatives traded notional was cleared.
• SEF-traded credit derivatives represented 78.4% of total traded notional and 79.7% of trade count. 96.9% of CDX HY, 98.0% of CDX IG, 88.4% of iTraxx Europe and 29.0% of other credit derivatives traded notional was executed on SEFs.

Click on the PDFs below to read the summary and/or full report.