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
Latest
Stress Scenarios for CCP IM Simulators
ISDA has published a paper that explains why stress scenarios that central counterparties (CCPs) use for default fund sizing cannot be used for forward-looking initial margin (IM) simulators. Typically, stress scenarios used by CCPs consist of a single step, transitioning...
Paper on EMIR 3 Active Account Representativeness
On September 4, ISDA, the European Fund and Asset Management Association (EFAMA) and FIA shared a paper with EU policymakers requesting clarification on the implementation of the active account requirement under the third European Market Infrastructure Regulation in relation to...
ISDA In Review – August 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in August 2025.
Episode 51: Trading Places
Markets have been volatile so far this year, but what has this meant for market liquidity? The Swap talks to Chris Edmonds from Intercontinental Exchange on trading activity and the market, economic and geopolitical outlook. Please view this page via...