The latest ISDA SwapsInfo Quarterly Review shows that trading volumes for interest rate derivatives (IRD) and credit derivatives both decreased during the third quarter of 2020 compared to the third quarter of 2019.
Key highlights for the third quarter of 2020 include:
- IRD traded notional decreased to $45.5 trillion from $68.8 trillion in the third quarter of 2019. Trade count fell to 359.1 thousand from 406.0 thousand over the same period.
- Cleared IRD transactions represented 89.9% of total traded notional and 83.6% of trade count.
- SEF-traded IRD represented 64.4% of total traded notional and 63.4% of trade count.
- Credit derivatives traded notional decreased to $1.8 trillion in the third quarter of 2020 from $2.4 trillion in the third quarter of 2019. Trade count fell to 53.4 thousand from 61.6 thousand over the same period.
- Cleared credit derivatives transactions represented 82.2% of total traded notional and 81.6% of trade count.
- SEF-traded credit derivatives represented 78.9% of total traded notional and 78.9% of trade count.
Click on the PDFs below to read the summary and/or full report.
Documents (2) for SwapsInfo Third Quarter of 2020 and Year-to-September 30, 2020 Review
Latest
Expanding the Universe of Eligible VM
ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...
ISDA Response on Hedge Accounting Guidance
On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...