ISDA's Q3 2018 Updates for Interest Rate Derivatives

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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