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 Guidance: SOFR Publication on Good Friday 2026
ISDA guidance for parties to over-the-counter derivative transactions affected by expected non-publication of SOFR on Good Friday in 2026. Please note that the guidance may be updated from time to time.
ISDA Paper on FRTB Rules in Brazil
On March 24, ISDA submitted a paper to Banco Central do Brazil’s (BCB) on its implementation of the revised market risk framework under the Fundamental Review of the Trading Book (FRTB), which represents an important step toward strengthening prudential standards...
IQ Interview with Mark Uyeda
Mandatory clearing of US Treasury securities is due to begin at the end of this year under rules finalized by the Securities and Exchange Commission (SEC) in 2023. SEC commissioner Mark Uyeda talks to IQ about the benefits of clearing...
Response to FCA on CFI Codes for Transparency
On March 19, ISDA responded to Chapter 3 of the UK Financial Conduct Authority’s (FCA) Quarterly Consultation CP26/8 on transparency requirements for financial instruments under Market Conduct Sourcebook (MAR) 11. Sections 3.11-3.13 of the consultation paper explain a discrepancy between...