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

Letter on EU Legislative Reform

On July 1, ISDA and 11 other trade associations published a statement on enhancing the EU legislative and supervisory framework to support market competitiveness. The statement highlights a significant opportunity to strengthen the EU’s regulatory and supervisory framework through the...

Response to CPMI-IOSCO Margin Proposals

On June 29, ISDA submitted a response to a consultation from the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) on updated guidance and public quantitative disclosures to implement the 2025 margin proposals....

US Treasury Repo Clearing Indicators May 2026

The ISDA-Actrix US Treasury Repo Market Clearing Indicators illustrate central clearing adoption in the US Treasury repo market. Sponsored cleared repo volumes are used as a proxy to monitor client participation in central clearing, the key objective of the Securities...