Research Notes

Review and analysis of timely and topical market issues and trends that is published periodically.


DateTitle / DescriptionDocuments
August 16, 2016
SwapsInfo Second Quarter 2016 Review
The research shows the majority of the IRD and CDS index trades reported to US trade repositories were traded on an electronic execution venue and cleared in the second quarter of 2016. The IRD market saw strong trading interest over the period, with notional volumes rising for the third successive quarter. However, average daily CDS index notional volume fell sharply compared with the prior three-month period.
Swaps review August 2016 FINAL.pdf
July 21, 2016
Derivatives Market Analysis: Interest Rate Derivatives
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 May 2016. The BIS publicly reported data is impacted in important ways by two key marketplace trends: clearing, which increases notionals; and compression, which reduces them. ISDA’s analysis adjusts reported notional outstanding figures for these factors in order to provide a clearer estimate of derivatives market trends.
OTC Derivatives Market Analysis - July 2016-V3.pdf
June 1, 2016
SwapsInfo First Quarter 2016 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity in the US. The research shows an increasing number of IRD and CDS index trades were cleared in the first quarter of 2016, and that electronic execution venues continued to play an important role in total trading activity. While this is true for both markets overall, bilateral CDS index trading volumes in particular saw a sharp decline in trade count and notional volume in the first quarter, while electronically traded volumes increased dramatically versus the first quarter of 2015.
SwapsInfo First Quarter 2016 Review .pdf
May 10, 2016
Cross-Border Fragmentation of Global Interest Rate Derivatives: Second Half 2015 Update
The fracturing of the global interest rate swaps market that emerged in the aftermath of US swap execution facility rules coming into force shows no signs of reversing. Although concerns over market fragmentation have been apparent for almost three years, some liquidity pools continue to be split on US and non-US lines.
Fragmentation FINAL1.pdf
January 28, 2016
SwapsInfo Fourth Quarter 2015 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory changes on electronic and bilateral trading volumes, as well as cleared and non-cleared activity. The research shows that the proportion of IRD and CDS index trades executed on electronic venues and cleared through central counterparties remained steady in the fourth quarter of 2015.
SwapsInfo Q4 2015 Review FINAL.pdf
January 22, 2016
ISDA 2015 Research Year in Review
The ISDA 2015 Research Year in Review summarizes key research releases from ISDA over the prior year, covering market liquidity, fragmentation, cleared volumes, swap execution facility trading and compression.
Research review FINAL.pdf
January 21, 2016
Derivatives Market Analysis: Interest Rate Derivatives
Clearing and portfolio compression are having an increasingly significant effect on the interest rate derivatives (IRD) market, with more than two-thirds of IRD notional outstanding now cleared and compression reducing the size of the market by approximately 62%.
Derivatives Market Analysis Jan 2016 FINAL3.pdf
November 23, 2015
SwapsInfo Third Quarter 2015 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory changes on electronic and bilateral trading volumes, as well as cleared and non-cleared activity. The research shows that the proportion of trades transacted on electronic execution venues and cleared through central counterparties increased further in the third quarter of 2015.
ISDA SwapsInfo Q3 2015 Review FINAL1.pdf
October 28, 2015
Cross-Border Fragmentation of Global Interest Rate Derivatives: The New Normal?
The global derivatives markets – in particular, the market for euro interest rate swaps – remains fragmented along geographic lines, according to an analysis of data to June 30, 2015. This report is the fourth in a series of research notes charting changes in global liquidity pools since US swap execution facility (SEF) rules came into force in October 2013.
Market fragmentation Oct15 FINAL.pdf
August 24, 2015
SwapsInfo Second Quarter 2015 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on electronic and bilateral trading volumes, as well as cleared and non-cleared activity. The research shows that clearing and electronic execution continued to play an important role in total trading activity during the second quarter of 2015.
ISDA SwapsInfo Q2 2015 Review FINAL.pdf