Research Notes

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


DateTitle / DescriptionDocuments
February 28, 2017
SwapsInfo Fourth Quarter 2016 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives and credit default swap index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on swap execution facility and bilateral trading volumes, as well as cleared and non-cleared activity. Interest rate derivatives and CDS index notional volume and trade count data is taken from the ISDA SwapsInfo site (swapsinfo.org), using data from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories.
Swaps review Q4 2016.pdf
January 13, 2017
SwapsInfo Third Quarter 2016 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives and credit default swap index trading activity. The report provides a breakdown of publicly available data to analyze the impact of regulatory change on swap execution facility and bilateral trading volumes, as well as cleared and non-cleared activity. Interest rate derivatives and CDS index notional volume and trade count data is taken from the ISDA SwapsInfo site (swapsinfo.org), using data from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories.
Swaps review Q3 2016 FINAL1.pdf
December 20, 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 November 2016. This publicly reported data does not describe several notable aspects of the derivatives market. For example, risk metrics associated with derivatives cannot be conveyed through notional figures. Additionally, the effects of clearing and compression skew BIS totals. This report addresses the effects of clearing and compression on interest rate derivatives by adjusting reported notionals in order to provide a clearer estimate of derivative market trends.
OTC Derivatives Market Analysis - DEC 2016 - V3.pdf
December 15, 2016
Trends in IRD Clearing and SEF Trading
This report examines the dynamics of US swap execution facility (SEF) trading by looking at cleared interest rate derivatives data and analyzing which products are traded on a SEF and which are not.
Trends in IRD Clearing and SEF Trading1.pdf
October 17, 2016
Key Trends in Clearing for Small Derivatives Users
The issue of clearing access for smaller derivatives users has been raised as a concern in the US and Europe. To further examine these issues, ISDA conducted an analysis of publicly available data on clearing. The Association also surveyed and held discussions with small derivatives users in both the US and European Union.
Key Trends in Clearing for Small Derivatives Users FINAL.pdf
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