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
The CPI Quandary
The recent US government shutdown didn’t just create weeks of political drama – it also left inflation-linked swaps dealers with a major headache: how should they determine an initial value for new trades given the US Bureau of Labor Statistics...
ISDA Response to HMT, BoE on UK CCPs
On November 18, ISDA submitted its responses to the Bank of England (BoE) consultation on ensuring the resilience of central counterparties (CCPs) and the UK Treasury’s (HMT) two draft CCP statutory instruments (SIs). These consultations form part of the update...
Doubling Down on Appropriate Trading Book Capital
Throughout ISDA’s 40th anniversary year, we’ve been reflecting on the quest for greater consistency and efficiency that underpins everything we’ve achieved since 1985. It was at the heart of the original efforts to bring greater standardization to the nascent derivatives...
Determining Initial Reference Index for New Trades
On November 25, 2025, ISDA published a Market Practice Note (MPN) to recommend a specific methodology that market participants could elect to use for the purposes of determining the Initial Reference Index for certain new inflation derivative transactions given that...