ISDA Provides Swaps Info for the Second Quarter 2016

SwapsInfo Second Quarter 2016 Review

The ISDA SwapsInfo Quarterly Review provides analysis on interest rate derivatives (IRD) and credit default swap (CDS) index trading activity reported to US data repositories.

Key highlights of the 2016 second quarter include:

• Average daily notional trading volume for interest rate derivatives rose 24.6% in the second quarter of 2016 compared with the corresponding period in 2015.
• Clearing accounted for 74.0% of average daily IRD trade counts and 83.9% of average daily notional volume in the second quarter of 2016.
• More than half of average daily IRD trading activity was executed on a swap execution facility (SEF) during the second quarter: 52.5% by trade count and 55.8% by notional volume.
• In the CDS index market, total average daily CDS index trade counts increased by 9.0% and notional volume rose by 1.1% compared with the second quarter of 2015. CDS average daily trade size declined by 7.2% over the same period.
• Clearing accounted for 81.9% of average daily trade counts and 81.4% of average daily notional volume in the second quarter of 2016. SEF trading accounted for 78.9% of average daily trade counts and 76.5% of average daily notional volume.