ISDA Publishes ''SwapsInfo Third Quarter 2015 Review''

ISDA published the SwapsInfo Third Quarter 2015 Review, providing analysis on interest rate derivatives (IRDs) and credit default swap (CDS) index trading activity. The report issued a breakdown of publicly available data and analyzed the impact of regulatory changes on electronic and bilateral trading volumes, as well as cleared and non-cleared activity.

According to the report, the research showed that the proportion of trades transacted on electronic execution venues and cleared through central counterparties increased in the third quarter of 2015. Highlights from the report include:

• approximately 70.5% of average daily IRD trade counts and 80.5% of average daily notional volume was cleared in the third quarter of 2015;
• more than half of average daily IRD trading activity - 53% by trade count and 58.4% by notional volume - was executed on a swap execution facility (SEF) during the third quarter;
• total average daily IRD trade counts rose by 2.5% year-on-year, but notional volume fell by 2.1%. Average IRD trade size declined by 4.5% over the same period;
• IRD average daily trade counts fell by 8.5% compared with the second quarter of 2015. Average daily notional volume decreased by 4.4% and average trade size rose by 4.5% over the same period;
• in the CDS index market, 81.4% of average daily trade counts and 81.2% of average daily notional volume was cleared in the third quarter. SEF trading accounted for 75.7% of average daily trade counts and 72.5% of average daily notional volume.