The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and index credit default swap (CDS) trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on swap execution facility (SEF) and bilateral trading volumes, as well as cleared and non-cleared activity.

IRD and index CDS traded notional and trade count data is taken from the ISDA SwapsInfo website (swapsinfo.org), using information from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories (SDRs). This report covers only trades required to be disclosed under US regulatory guidelines

Key highlights for the full year 2017 include:

• • IRD traded notional amount and trade count rose by 16.1% and 5.7%, respectively, compared to the 12 months ended December 31, 2016.
  • Cleared IRD transactions represented 87.6% of traded notional and 80.3% of trade count.
  • SEF-traded IRD represented 55.0% of notional and 58.9% of trade count.
  • Index CDS traded notional and trade count fell by 6% and 17.5%, respectively, compared to the 12 months ended December 31, 2016.
  • Cleared index CDS transactions represented 79.7% of traded notional amount and 79.8% of trade count.
  • SEF-traded index CDS represented 74.9% of notional amount and 75.6% of trade count.