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
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...
ISDA Response on Margin Transparency
On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...
Paper on Liquidity Assessment for Single-name CDS
On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...