The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency.
Key highlights for the first quarter of 2019 include:
- IRD traded notional rose by 5.0% to $69.9 trillion from $66.6 trillion in the first quarter of 2018. Trade count grew by 3.3% over the same period to 377,229 from 365,305. Single currency fixed-for-floating interest rate swaps (IRS) traded notional increased to $20.2 trillion from $19.6 trillion. Forward rate agreements (FRAs) traded notional rose to $27.1 trillion from $24.0 trillion, and overnight index swaps (OIS) traded notional increased to $14.3 trillion in the first quarter of 2019 from $14.2 trillion in the first quarter of 2018.
- Cleared IRD transactions represented 88.9% of total traded notional and 83.9% of trade count. About 96% of fixed-for-floating IRS, 100% of FRA, 95% of OIS and 26% of other IRD traded notional was cleared.
- SEF-traded transactions represented 60.0% of total traded notional and 62.6% of trade count. About 59% of fixed-for-floating IRS, 84% of FRA, 30% of OIS and 38% of other IRD traded notional was executed on SEFs.
- Credit derivatives traded notional decreased by 13.7% to $2.4 trillion from $2.7 trillion in the first quarter of 2018. Trade count fell by 6.3% to 63,080 from 67,344 over the same period. CDX HY traded notional decreased by 18.4% and CDX IG traded notional decreased by 6.2% compared with the first quarter of 2018. CDX HY traded notional fell to $360.7 billion from $441.9 billion and CDX IG traded notional declined to $891.4 billion from $950.6 billion. iTraxx Europe traded notional decreased by 5.7% to $470.5 billion in the first quarter of 2019 from $499.1 billion in the first quarter of 2018.
- Cleared transactions represented 81.0% of total traded notional and 80.8% of trade count. About 98% of CDX HY, 99% of CDX IG, 96% of iTraxx Europe and 34% of other credit derivatives traded notional was cleared.
- SEF-traded credit derivatives represented 77.5% of total traded notional and 78.2% of trade count. About 97% of CDX HY, 98% of CDX IG, 94% of iTraxx Europe and 25% of other credit derivatives traded notional was executed on SEFs.
Click on the PDF below to read the full report.
Documents (1) for SwapsInfo First Quarter of 2019 Review
Latest
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...
Response to SEC on FICC Guaranty Fund
On September 1, ISDA and FIA submitted a joint response to the US Securities and Exchange Commission (SEC), supporting the Fixed Income Clearing Corporation’s (FICC) proposal to establish a dedicated guaranty fund at its government securities division (GSD). FICC had...