Research Notes

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


DateTitle / DescriptionDocuments
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
July 30, 2015
The Impact of Compression on the Interest Rate Derivatives Market
Compression activity has increased significantly over the past year, driven by new regulations and developments in clearing technology. In particular, the implementation of the Basel III leverage ratio has acted as a major incentive for banks to reduce the size of their legacy derivatives books. Developments in compression services – and especially the unlinking of cleared trades – have helped facilitate increased activity. Total interest rate derivatives notional outstanding has dropped as a result. This report considers how market participants are using compression technology, and the impact this is having on the interest rate derivatives market.
Compression Report July 2015 FINAL.pdf
April 22, 2015
SwapsInfo First Quarter 2015 Review
The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives 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 electronic trading volumes continued to play an important role in total trading activity during the first quarter of 2015.
SwapsInfo Q1 2015 Review FINAL.pdf
April 22, 2015
Cross-Border Fragmentation of Global Derivatives: End-Year 2014 Update
Evidence shows that global derivatives markets have fragmented along geographic lines since the introduction of the US swap execution (SEF) regime in October 2013. This development has been particularly conspicuous in the market for euro interest rate swaps.
Market fragmentation FINAL.pdf