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

Response to FCA on Post-trade Transparency

On October 16, ISDA responded to the Financial Conduct Authority’s (FCA) consultation CP26/30.  While the consultation is principally focused on cash equity market structure and transparency, ISDA responded to questions on the potential inclusion of equity swaps in the scope...

Efficiency is Vital to Delivering Resilience

With less than three months to go until implementation of US Treasury clearing begins at the end of this year, it’s critical that the mandate is safely implemented without compromising market efficiency. This represents a huge change in market structure,...