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
Response to FASB on KPIs for Business Entities
On April 30, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) proposal on financial key performance indicators (KPIs) for business entities. In the response, ISDA addressed the implications of KPI standardization, its potential impact on financial reporting...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...