Derivatives Market Analysis: Interest Rate Derivatives

Twice a year, the International Swaps and Derivatives Association (ISDA) analyzes interest rate derivatives notional outstanding data reported by the Bank for International Settlements (BIS) in order to illuminate market trends. The bank’s most recent analysis was released in May 2016.

The BIS publicly reported data is impacted in important ways by two key marketplace trends: clearing, which increases notionals; and compression, which reduces them. ISDA’s analysis adjusts reported notional outstanding figures for these factors in order to provide a clearer estimate of derivatives market trends. For example, although public data indicates a decrease inderivatives outstanding during the second half of 2015, ISDA’s analysis reveals on an adjusted basis that the size of the market increased at year-end 2015 compared to six months earlier.

It is important to note that risk metrics associated with derivatives (such as the amount of risk being transferred, the payments that are exchanged between parties, or the maximum loss that would be incurred should every derivatives contract be closed out) cannot be conveyed through notional figures.

Documents (1) for Derivatives Market Analysis: Interest Rate Derivatives

ISDA AGM Studio: David Bailey

David Bailey, executive director, prudential policy, at the Bank of England, speaks with ISDA CEO Scott O’Malia about the UK’s approach to Basel 3.1, the impact of the revised US Basel III endgame on cross‑border consistency and the role of the...

ISDA AGM Studio: Scott O'Malia and Chris Edmonds

Christopher Edmonds, president, fixed income & data services, at Intercontinental Exchange, speaks with Scott O’Malia, ISDA CEO, about how market volatility, regulatory change and technological transformation are reshaping global markets. The discussion explores what recent volatility has meant for participation,...

ISDA AGM Studio: Bill Borden, Microsoft

Bill Borden, corporate vice president, worldwide financial services, at Microsoft, speaks with Mark New, ISDA’s co-head of digital transformation and senior counsel, about how artificial intelligence (AI) is shaping the future of financial markets and the key factors firms should...