Interest rate derivatives (IRD) trading volumes increased in in the first quarter of 2020, driven largely by coronavirus-related market volatility. Despite this increase, however, the share of IRD block trades decreased, especially for fixed-for-floating interest rate swaps (IRS), indicating less liquidity for large-sized trades.
Total capped notional of fixed-for-floating IRS transactions decreased by 16.0% in the first quarter of 2020 versus the first quarter of 2019, while the number of trades with capped notional declined by 8.0% over the same period. The share of IRS trades with capped notional relative to total fixed-for-floating IRS transactions fell to 6.9% in the first quarter of 2020 from 9.5% in the first quarter of 2019.
This report uses data from the Depository Trust & Clearing Corporation swap data repository. It, therefore, only covers trades that are required to be disclosed under US regulations.
Click on the attached PDF to read the full report.
Documents (1) for IRD Block Trading Activity in the First Quarter of 2020
Latest
Response to MAS on Treatment of Crypto Assets
On May 15, ISDA and the Asia Securities Industry and Financial Markets Association submitted a joint response to the Monetary Authority of Singapore’s (MAS) consultation, published in April 2026, on the prudential treatment of crypto assets on permissionless blockchains, welcoming MAS’s more...
Joint Response to EC on Market Risk Delegated Act
ISDA and the Association for Financial Markets in Europe (AFME) have responded to the European Commission’s (EC) consultation on the draft legal text of the upcoming market risk delegated act. The associations welcome the ongoing efforts to address the implementation...
ISDA/ASIFMA/GFXD Letter to RBI on INR-Denominated FX Derivatives Reporting
On March 9, 2026, ISDA, ASIFMA, and GFXD submitted a joint letter to the Reserve Bank of India (RBI) in response to the RBI’s Reporting Instructions for Authorised Dealer (AD) Category – I Banks draft directions to mandate the reporting...
IRD Trading Activity FY 2025 and Q4 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 full year 2025 include: European...