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
Latest
Episode 56: Countdown to Treasury Clearing
With less than nine months to go until the first US Treasury clearing mandates come into force, BlackRock’s Tyler Wellensiek and BNY’s Nate Wuerffel discuss industry progress. Please view this page via Chrome to access the recording.
Response to Eurosystem Consultation on Appia
On April 22, ISDA responded to the Eurosystem consultation on the Appia roadmap. ISDA broadly supports the roadmap and its high level principles, while recommending that the principle on market access and integration should be expanded to explicitly address interoperability...
ISDA Responds to ESMA on PTRR Clearing Exemption
On April 20, ISDA submitted a response to the European Securities and Markets Authority (ESMA) consultation paper on a draft regulatory technical standard (RTS) for the post-trade risk reduction (PTRR) exemption from the derivatives clearing obligation under Article 4b of the...
Response on Competitiveness of EU Banking Sector
On April 17, ISDA responded to the European Commission’s (EC) targeted consultation on the competitiveness of the EU banking sector. The EU is aiming to bolster the ability of its financial markets and banking sector to grow, remain competitive and...