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.

 

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