ISDA's Updates for Interest Rate Derivative Trading Activity – Q3 2018


Here are some key highlights from ISDA’s 3rd Quarter Review of the interest rate derivatives market.

  • Compared to 3rd Quarter 2017, Interest Rate Derivatives (IRD) traded notional and trade count rose this year by 14.5% and 7.8% respectively. Compared to the first three quarters of 2017, the increases were even bigger: 20.2% and 13.5% respectively.
  • Single currency fixed-for-floating Interest Rate Swaps (IRS) accounted for 64.6% of total IRD trades, but represented only 29.5% of IRD traded notional
  • Cleared IRD transactions represented 87.4% of total traded notional and 81.6% of trade count. About 96% of OIS and 27% of other IRD traded notional was cleared. This is very similar to the year-on-year figures.
  • SEF-traded transactions represented about 58.2% of total traded notional and 61.8% of trade count. This is an uptick from the year-on-year figures.
  • Additionally, on the Alternative Reference Rate efforts, SOFR traded notional totalled $3.7 billion, including $2.0 billion of basis swaps. Trade count totalled 30, including 24 basis swaps. There were 5 trades in the first week of November alone, a strong indication that both pace and volume are increasing.


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Principia Partners LLC (Principia) provides solutions for derivative and structured finance operations. Global financial institutions and independent asset managers have used the award-winning Principia Structured Finance Platform since 1995 to unify investment analysis, portfolio management, risk surveillance, accounting and operational control across the breadth of structured credit assets, fixed income investments and complex derivatives. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.

Principia is based in New York, with an office in London and a technology center in King of Prussia, Pennsylvania.