SwapsInfo Third Quarter 2015 Review

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 changes on electronic and bilateral trading volumes, as well as cleared and non-cleared activity.

The research shows that the proportion of trades transacted on electronic execution venues and cleared through central counterparties increased further in the third quarter of 2015. Highlights include:

  • Approximately 70.5% of average daily IRD trade counts and 80.5% of average daily notional volume was cleared in the third quarter of 2015.
  • More than half of average daily IRD trading activity – 53% by trade count and 58.4% by notional volume – was executed on a swap execution facility (SEF) during the third quarter.
  • Total average daily IRD trade counts rose by 2.5% year-on-year, but notional volume fell by 2.1%. Average IRD trade size declined by 4.5% over the same period.
  • IRD average daily trade counts fell by 8.5% compared with the second quarter of 2015. Average daily notional volume decreased by 4.4% and average trade size rose by 4.5% over the same period.
  • In the CDS index market, 81.4% of average daily trade counts and 81.2% of average daily notional volume was cleared in the third quarter. SEF trading accounted for 75.7% of average daily trade counts and 72.5% 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.

 

Documents (1) for SwapsInfo Third Quarter 2015 Review

Eyeing the Basel III Finish Line

An effective regulatory capital framework relies on multiple ingredients, from appropriate drafting to rigorous testing and consultation. Even minor calibration distortions can inflate capital requirements, which could negatively affect the capacity of banks to support deep and liquid markets, with...

Joint Comment Letter on Basel III Endgame Proposal

The Institute of International Finance (IIF), the International Swaps and Derivatives Association, Inc. (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) today submitted a joint comment letter to the Board of Governors of the Federal Reserve System, the...