The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on electronic and bilateral trading volumes, as well as cleared and non-cleared activity.

The research shows that clearing and electronic execution continued to play an important role in total trading activity during the second quarter of 2015. Looking at average daily trading statistics over the quarter:

• Approximately 67.4% of average daily IRD trade counts and 74.7% of average daily notional volume was cleared in the second quarter of 2015.
• More than half of average daily IRD trading activity – 51.2% by trade count and 56.4% by notional volume – was executed on a swap execution facility (SEF) during the second quarter.
• Total average daily IRD trade counts rose by 16.3% year-on-year, but notional volume fell by 6.4% compared with the second quarter of 2014. Average IRD trade size declined by 19.5% over the same period.
• IRD average daily trade counts fell by 6.8% compared with the previous quarter. Average daily notional volume decreased by 3.8% and average trade size rose by 3.3% over the same period.
• In the CDS index market, 77% of average daily trade counts and 74.6% of average daily notional volume was cleared in the second quarter. SEF trading accounted for 71% of average daily trade counts and 65.2% of average daily notional volume.

IRD and CDS index notional volume and trade count data is taken from the ISDA SwapsInfo site (swapsinfo.org), using data from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories.