Twice a year, 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 November 2016.
This publicly reported data does not describe several notable aspects of the derivatives market. For example, risk metrics associated with derivatives cannot be conveyed through notional figures.
Additionally, the effects of clearing and compression skew BIS totals. Clearing acts to increase reported notional outstanding, as a single bilateral transaction is counted as two cleared trades once novated to a central counterparty (CCP). In contrast, compression reduces notional outstanding, which can make it seem like fewer trades are taking place.
This report addresses the effects of clearing and compression on interest rate derivatives by adjusting reported notionals in order to provide a clearer estimate of derivative market trends.
Documents (1) for Derivatives Market Analysis: Interest Rate Derivatives
Latest
A Global Blueprint for Market Risk Reform
The global financial crisis of 2007-2009 exposed fundamental weaknesses in how banks measured and managed risk, and the repercussions were felt by economies all over the world. In response, policymakers sought to rebuild trust and resilience in the global financial...
SwapsInfo Q3 2025 and Year-to-September 30, 2025
Trading activity in interest rate derivatives (IRD) and credit derivatives increased in the third quarter of 2025 compared with the same period in 2024, reflecting shifting monetary policy expectations and broader market conditions. IRD traded notional rose by more than...
ISDA Extends Saudi Arabia Netting Opinions
ISDA has extended its netting opinions for Saudi Arabia to cover regulations published by the Capital Market Authority (CMA) earlier this year that recognize the enforceability of close-out netting. The CMA regulations were published in July, and follow similar rules...
ISDA Publishes ISDA SIMM® Methodology, Version 2.8+2506
ISDA has published the ISDA SIMM® Methodology, version 2.8+2506, which is effective from December 6, 2025. This version of the SIMM includes updates based on the calibration of the main delta risk weights and other parameters using data up to...