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 cleared and non-cleared activity and trading volumes executed on swap execution facilities (SEFs) and bilaterally, as well as by product and currency.

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 first quarter of 2018 include:

Interest Rate Derivatives

During the first quarter of 2018, IRD traded notional rose by 29.2% to $66.2 trillion from $51.3 trillion in the first quarter of 2017. Trade count grew by 18.9% over the same period, to 364,370 from 306,546. The increase was mainly driven by US dollar- and euro-denominated fixed-for-floating interest rate swaps (IRS), US dollar-denominated forward rate agreements (FRAs) and sterling-denominated overnight index swaps (OIS).

In the first quarter of 2018:

• Cleared IRD transactions represented 88.6% of total traded notional and 81.7% of trade count.
• SEF-traded IRD represented 56.7% of total traded notional and 62.5% of trade count.
• Single currency fixed-for-floating IRS accounted for 63.6% of total IRD trades, but represented only 29.3% of IRD traded notional. FRAs and OIS represented 16.4% and 5.0% of total trade count and 36.16% and 21.3% of traded notional, respectively.
• IRD in US dollars remained the most actively traded instruments, comprising 69.3% of traded notional and 54.4% of trade count. Euro-denominated IRD transactions accounted for a far smaller percentage of notional (13.7%) and trade count (15.1%).

Index Credit Default Swaps

Index CDS traded notional increased by 49.7% to $2.7 trillion in the first quarter of 2018 from $1.8 trillion in the first quarter of 2017. Index CDS trade count grew by 19.4% over the same period to 65,625 from 54,985. The increase was mainly driven by 78% growth in CDX IG traded notional and a 58% rise in CDX HY traded notional.

In the first quarter of 2018:

• Cleared index CDS represented 83.6% of total traded notional and 83.2% of trade count.
• SEF-traded index CDS comprised 79.4% of total traded notional and 80.1% of trade count.
• The CDX HY and CDX IG indices represented 16.6% and 35.6% of total index CDS traded notional and 28.4% and 23.5% of trade count, respectively. iTraxx Europe accounted for 28.7% of total traded notional and 26.9% of trade count.
• Index CDS contracts denominated in the US dollars remained the most actively traded instruments and represented 67.3% of total index CDS traded notional and 70.2% of trade count. Euro-denominated index CDS transactions accounted for 32.5% and 29.4% of traded notional and trade count, respectively.