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

Strengthening DC Governance

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ISDA CSA Significant Errors Notification SOP

The ISDA CSA Notification of Significant Error or Omissions Suggested Operational Practices (SOP) considers current institutional processes and outlines suggested operational practices related to the new requirement under §26.3(2) of the Canadian Trade Repositories and Derivatives Data Reporting rules rewrite...

ISDA Paper on UPI Identifiers

On July 16, ISDA submitted a paper (UPI as the Foundation for OTC Derivatives Reporting: The Case for UPI) to the UK Financial Conduct Authority (FCA). The paper was developed to complement ISDA’s response to the FCA’s discussion paper DP24/2:...

IRD Trading Activity First Quarter of 2025

This report analyzes interest rate derivatives (IRD) trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements (APAs) and trading venues (TVs). Key highlights for the first quarter of 2025 include:...