The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency information.
Trading volumes for IRD and credit derivatives both increased during the first quarter of 2020, driven by market volatility caused by the coronavirus pandemic. For IRD, the increase was particularly noticeable in overnight index swaps. For credit derivatives, there was more trading activity across all major indices.
Other key highlights for the first quarter of 2020 include:
- IRD traded notional increased to $87.4 trillion from $70.0 trillion in the first quarter of 2019. Trade count grew to 481.6 thousand from 378.0 thousand over the same period.
- Cleared IRD transactions represented 91.2% of total traded notional and 84.1% of trade count.
- SEF-traded IRD represented 52.8% of total traded notional and 61.0% of trade count.
- Credit derivatives traded notional increased to $3.9 trillion from $2.4 trillion in the first quarter of 2019. Trade count grew to 102.0 thousand from 63.2 thousand over the same period.
- Cleared credit derivatives transactions represented 83.3% of total traded notional and 82.2% of trade count.
- SEF-traded credit derivatives represented 79.9% of total traded notional and 79.1% of trade count.
Click on the PDFs below to read the summary and/or full report.
Documents (2) for SwapsInfo First Quarter of 2020 Review
Latest
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...
Response on CSDD Guidelines
On August 6, ISDA responded to the European Commission’s (EC) consultation on due diligence guidelines under the Corporate Sustainability Due Diligence Directive (CSDDD). While ISDA acknowledges that model contractual clauses can be a helpful resource for in-scope companies, there are...
Response to BoE on Extension of Settlement Hours
On August 6, ISDA responded to the Bank of England’s (BoE) consultation paper on the extension of settlement hours for RTGS and CHAPS, the UK’s high-value payment system. ISDA supports the BoE’s plan to extend RTGS and CHAPS settlement hours...