Interest rate derivatives (IRD) trading volumes increased in in the first quarter of 2020, driven largely by coronavirus-related market volatility. Despite this increase, however, the share of IRD block trades decreased, especially for fixed-for-floating interest rate swaps (IRS), indicating less liquidity for large-sized trades.
Total capped notional of fixed-for-floating IRS transactions decreased by 16.0% in the first quarter of 2020 versus the first quarter of 2019, while the number of trades with capped notional declined by 8.0% over the same period. The share of IRS trades with capped notional relative to total fixed-for-floating IRS transactions fell to 6.9% in the first quarter of 2020 from 9.5% in the first quarter of 2019.
This report uses data from the Depository Trust & Clearing Corporation swap data repository. It, therefore, only covers trades that are required to be disclosed under US regulations.
Click on the attached PDF to read the full report.
Documents (1) for IRD Block Trading Activity in the First Quarter of 2020
Latest
ISDA Publishes DC Governance Committee Proposal
ISDA has published a proposal for a new governance committee for the CDS Determinations Committees (DCs), the first in a series of amendments to improve the structure of the DCs and maintain their integrity in changing economic and market conditions....
CDS Governance Committee Public Consultation
ISDA is pleased to present the proposed Charter for the Credit Derivatives Governance Committee and accompanying DC Rule changes to implement. Pursuant to the announcement made in 2024, an ISDA working group formed from ISDA’s Credit Steering Committee has worked...
TD Securities Integrates ISDA Create
ISDA has announced that TD Securities has completed its integration of ISDA Create across its global suite of client trading and regulatory agreements. Powered by CreateiQ and S&P Global Market Intelligence, ISDA Create allows users to digitally transform the trading...
ISDA to Extend DRR to cover MIFID/MIFIR Reporting
ISDA has announced it will extend the ISDA Digital Regulatory Reporting (ISDA DRR) solution to cover reporting requirements under the EU and UK Markets in Financial Instruments Directive (MIFID) and Markets in Financial Instruments Regulation (MIFIR), and is working with...