ISDA's Q4 2018 Updates for Interest Rate Derivatives

In light of the efforts to replace LIBOR across all five jurisdictions, we’d like to pass along some key highlights from ISDA’s quarterly review of trading activity for interest rate derivatives (IRD):

  • Both traded notional and trade count rose by 21.9% and 13.5% respectively in 2018.
  • Single currency fixed-for-floating interest rate swaps (IRS) increased 25%
  • Overnight index swaps (OIS) traded notional grew by 12.7%
  • 88.1% of total traded notional were cleared transactions, very similar to 2017.
  • Swap execution facility (SEF)-traded swaps were 55.8% of total traded notional, again very similar to 2017.

About Principia Partners

Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.