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
Latest
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...
ISDA Response on Margin Transparency
On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...
Paper on Liquidity Assessment for Single-name CDS
On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...