Twice a year, ISDA analyzes interest rate derivatives notional outstanding data reported by the Bank for International Settlements (BIS) in order to illuminate market trends. The bank’s most recent analysis was released in November 2016.
This publicly reported data does not describe several notable aspects of the derivatives market. For example, risk metrics associated with derivatives cannot be conveyed through notional figures.
Additionally, the effects of clearing and compression skew BIS totals. Clearing acts to increase reported notional outstanding, as a single bilateral transaction is counted as two cleared trades once novated to a central counterparty (CCP). In contrast, compression reduces notional outstanding, which can make it seem like fewer trades are taking place.
This report addresses the effects of clearing and compression on interest rate derivatives by adjusting reported notionals in order to provide a clearer estimate of derivative market trends.
Documents (1) for Derivatives Market Analysis: Interest Rate Derivatives
Latest
Launch of US Treasury Repo Market Indicators
ISDA has launched the ISDA-Actrix US Treasury Repo Market Clearing Indicators in collaboration with Actrix. The indicators illustrate central clearing adoption in the US Treasury repo market. Sponsored cleared repo volumes are used as a proxy to monitor client participation...
ISDA-Actrix US Treasury Clearing Indicators
This report provides indicators that illustrate central clearing adoption in the US Treasury repo market. Sponsored cleared repo volumes are used as a proxy to monitor client participation in central clearing, the key objective of the Securities and Exchange Commission's...
ISDA In Review – May 2026
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in May 2026.
US Treasury Repo Market Indicators Methodology
This paper is intended for market participants interested in the structure and methodology used to construct the ISDA-Actrix US Treasury Repo Market Clearing Indicators. It provides precise details allowing participants to access the publicly available data and replicate the calculations...