SwapsInfo First Half of 2019 and Second Quarter of 2019 Review: Summary

The ISDA SwapsInfo 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. This summary provides a high-level overview of key trends in the first half of 2019 and second quarter of 2019. The full report will be published by the end of July 2019.

Key highlights for the first half of 2019 include:

  • IRD traded notional increased by 9.8% to $138.0 trillion from $125.7 trillion in the first half of 2018. Trade count grew by 6.7% over the same period. Single currency fixed-for-floating interest rate swaps (IRS) traded notional increased by 2.4%, while forward rate agreements (FRAs) and overnight index swaps (OIS) traded notional grew by 19.3% and 16.0%, respectively, in the first half of 2019 compared with the first half of 2018.  
  • Cleared IRD transactions represented 88.9% of total traded notional, compared with 88.1% in the first half of 2018. About 96% of fixed-for-floating IRS, 100% of FRA, 95% of OIS, and 25% of other IRD traded notional was cleared in the first half of 2019.  
  • SEF-traded swaps represented 58.8% of total traded notional, compared with 56.3% in the first half of 2018. About 59% of fixed-for-floating IRS, 82% of FRA, 32% of OIS and 37% of other IRD traded notional was executed on SEFs in the first half of 2019. 
  • Credit derivatives traded notional decreased by 11.7% to $4.4 trillion from $4.9 trillion in the first half of 2018. Trade count fell by 5.1% over the same period. CDX HY traded notional declined by 8.6% to $719.5 billion from $786.8 billion in the first half of 2018, and CDX IG traded notional decreased by 2.2% over the same period to $1.6 trillion from $1.7 trillion. iTraxx Europe traded notional decreased by 13.0% to $843.4 billion in the first half of 2019 from $969.7 billion in the first half of 2018. 
  • Cleared transactions represented 80.6% of total traded notional, compared with 83.4% in the first half of 2018. About 98% of CDX HY, 99% of CDX IG, 95% of iTraxx Europe and 35% of other credit derivatives traded notional was cleared. 
  • SEF-traded credit derivatives represented 77.0% of total traded notional, compared with 79.3% in the first half of 2018. About 97% of CDX HY, 98% of CDX IG, 91% of iTraxx Europe and 25% of other credit derivatives traded notional was executed on SEFs.

Click on the PDF below to read the Summary.

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