ISDA's Q1 2020 Updates for Interest Rate Derivatives

ISDA's analysis of interest rate derivatives trading activity for Q1 2020 is now available. In comparison to Q1 2019:

  • Both IRD traded notional and trade count increased by 25% and 27.4% respectively
  • US dollar-denominated IRS (fixed for floating) decreased by over 5% (61.2% of total traded IRD notional)
  • US dollar FRA and OIS contracts increased by 9.6% and 97.7% respectively
  • SEF-traded IRD represented 52.8% of total traded notional and 61% of trade count, a decrease from 60% and 62.6% respectively

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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.