SwapsInfo Third Quarter of 2018 and Year-to-September 30, 2018 Review

The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared, non-cleared, swap execution facility (SEF) and off-SEF traded notional and trade count, as well as product taxonomy and currency information.

Key highlights for the third quarter of 2018 include:

  • IRD traded notional rose by 14.5% to $53.8 trillion from $47.0 trillion in the third quarter of 2017. Trade count grew by 7.8% over the same period. The increase was mainly driven by US dollar- and sterling-denominated forward rate agreements (FRAs), US dollar- and euro-denominated fixed-for-floating interest rate swaps (IRS) and US dollar- denominated overnight index swaps (OIS). Trading in euro-denominated FRAs and euro- and sterling-denominated OIS declined quarter-over-quarter.
  • Cleared IRD transactions represented 87.4% of total traded notional. About 96% of fixed-for-floating IRS, 99% of FRAs, 96% of OIS and 27% of other IRD traded notional was cleared.
  • SEF-traded IRD represented 58.2% of total traded notional. About 58% of fixed-for- floating IRS, 81% of FRAs and 36% of OIS traded notional was executed on SEFs.
  • Credit derivatives traded notional increased by 3.0% to $1.9 trillion from $1.8 trillion in the third quarter of 2017. Trade count grew by 5.7% over the same period. The increase was mainly driven by growth in iTraxx Europe traded notional, while CDX IG and CDX HY traded notional declined.
  • Cleared credit derivatives represented 81.9% of total traded notional. About 98% of CDX HY, 98% of CDX IG, 97% of iTraxx Europe and 25% of other credit derivatives traded notional was cleared.
  • SEF-traded credit derivatives comprised 77.8% of total traded notional. About 97% of CDX HY, 97% of CDX IG, 95% of iTraxx Europe and 12% of other credit derivatives traded notional was executed on SEFs.

Documents (1) for SwapsInfo Third Quarter of 2018 and Year-to-September 30, 2018 Review

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