NEWS RELEASE For Immediate Release

Over 50% of IRD and 70% of CDS Indices Traded on SEFs During Q1 2015

MONTREAL, April 22, 2015 – More than half of interest rate derivatives (IRD) and over 70% of credit default swap (CDS) index average daily notional volumes were traded on swap execution facilities (SEFs) in the first quarter of 2015, according to a review of trading volumes published today by the International Swaps and Derivatives Association, Inc. (ISDA).

Analysis compiled by ISDA’s SwapsInfo website, which is based on US swap data repository data, shows electronic trading has continued to grow as a proportion of overall trading activity following the introduction of the first SEF trading mandates in the US in February last year. SEF trading accounted for 54.5% of total IRD average daily notional volume in the first quarter of 2015, compared with 52.4% over the whole of 2014.

A similar trend occurred in the market for CDS indices: SEF trading accounted for 70.7% of total average daily notional volume in the first quarter of 2015, compared with 62.5% in 2014.

In addition, a large proportion of average daily IRD and CDS index notional volume is now cleared. Cleared trades comprised 72.5% of total IRD average daily notional volume in the first quarter, compared with 76.5% over the whole of 2014 and 71.7% in 2013. Just over 80% of CDS index average daily notional was cleared in the first three months of this year, compared with 74.7% in 2014 and 37.7% in 2013.

“Our research shows that electronic trading volumes continued to play an important part of total trading activity in the first quarter of 2015,” said Scott O’Malia, ISDA Chief Executive Officer. “In addition to the increase in SEF trading, market participants are continuing to clear the majority of their interest rate derivatives and CDS index trades.”

Additional highlights from the IRD analysis include:

Total average daily trade counts continued to climb during the first three months of 2015, both on a year-on-year and quarter-on-quarter basis.
Total average daily notional amounts remained below their peak in the first quarter of 2014, but increased 4.2% compared to the fourth quarter of 2014 to reach $504.7 billion.
Total average IRD trade size fell over the three-month period, a trend that has continued since the first quarter of 2014. Average trade size reached $125.4 million in the first quarter of 2015, versus $127.5 million in the previous three-month period.
SEF trading increased in terms of trade count on both a year-on-year and quarter-on-quarter basis. Average daily notional volumes were lower than the peak in the first quarter of 2014, but were higher compared with the fourth quarter of 2014. The average trade size on SEFs increased slightly during the first quarter of 2015.
SEF trading accounted for 46.4% of total trade counts in the first quarter of 2015.
On average, 59.3% of total trade count was cleared during the first quarter of 2015.

Additional highlights from the CDS index analysis include:

Total average daily trade counts fell during the first quarter of 2015, after steadily climbing since the second quarter of 2014. Total average daily notional amounts decreased on a quarterly and year-on-year basis to reach $29.9 billion.
Total average trade size climbed by 4.9% over the first quarter to reach $34.5 million, after declines in the previous two quarters. The average trade size remains well below its first-quarter-2014 level of $38.4 million.
SEF trading saw a decrease in both average daily trade counts and notional volumes over the quarter, with the average trade size increasing. Compared with the first quarter of 2014, both trade count and notional volumes have increased, while average trade size dropped.
SEF trading accounted for 73.5% of average daily trade counts over the first quarter of 2015.

Cleared notional amounts comprised 81.2% of total average trade count during the first quarter of 2015.

The ISDA SwapsInfo Quarterly Review analyzes IRD and CDS index trading activity. The report analyzes the impact of regulatory change on electronic and bilateral trading volumes, as well as cleared and non-cleared activity. IRD and CDS index notional volume and trade count data is taken from the ISDA SwapsInfo site (www.swapsinfo.org). The site uses publicly reported data from the Depository Trust & Clearing Corporation (DTCC) and Bloomberg US swap data repositories (SDRs).

The ISDA SwapsInfo 2015 First Quarter Review is available on the ‘Research’ section of the ISDA website, under ‘Research Notes’.

For Press Queries, Please Contact:

Lauren Dobbs, ISDA Montreal AGM office, + 1 514 879 6821, ldobbs@isda.org

Nick Sawyer, ISDA Montreal AGM office, + 1 514 879 6821, nsawyer@isda.org

Donna Chan, ISDA Montreal AGM office, + 1 514 879 6821, dchan@isda.org

About ISDA SwapsInfo

ISDA SwapsInfo.com was developed by ISDA in order to provide greater transparency on the derivatives markets. The site displays price and transaction data on IRD and CDS indices. It uses publicly reported data from the DTCC’s swap data repository service operated by DTCC Data Repository (US) LLC and the Bloomberg Swap Data Repository. The site also displays market risk activity (notional and trade counts) and notionals outstanding (gross/net notional and trade counts) on CDS indices from the Trade Information Warehouse service operated by DTCC Derivatives Repository (UK) Limited, and IRD notional outstanding from the OTC Derivatives Regulators’ Forum reporting service operated by DTCC Derivatives Repository (UK) Limited.

About ISDA

Since 1985, ISDA has worked to make the global derivatives markets safer and more efficient. Today, ISDA has over 800 member institutions from 67 countries. These members include a broad range of derivatives market participants including corporations, investment managers, government and supranational entities, insurance companies, energy and commodities firms, and international and regional banks. In addition to market participants, members also include key components of the derivatives market infrastructure including exchanges, clearinghouses and repositories, as well as law firms, accounting firms and other service providers. Information about ISDA and its activities is available on the Association’s web site: www.isda.org.

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc.