SwapsInfo Full Year 2017 and Fourth Quarter 2017 Review

The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and index credit default swap (CDS) trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on swap execution facility (SEF) and bilateral trading volumes, as well as cleared and non-cleared activity.

IRD and index CDS traded notional and trade count data is taken from the ISDA SwapsInfo website (swapsinfo.org), using information from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories (SDRs). This report covers only trades required to be disclosed under US regulatory guidelines

Key highlights for the full year 2017 include:

    • IRD traded notional amount and trade count rose by 16.1% and 5.7%, respectively, compared to the 12 months ended December 31, 2016.
    • Cleared IRD transactions represented 87.6% of traded notional and 80.3% of trade count.
    • SEF-traded IRD represented 55.0% of notional and 58.9% of trade count.
    • Index CDS traded notional and trade count fell by 6% and 17.5%, respectively, compared to the 12 months ended December 31, 2016.
    • Cleared index CDS transactions represented 79.7% of traded notional amount and 79.8% of trade count.
    • SEF-traded index CDS represented 74.9% of notional amount and 75.6% of trade count.

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