SwapsInfo 2014 Year in Review March 16 2015

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SwapsInfo 2014 Year in ReviewThe ISDA SwapsInfo Year in Review analyzes trends observed in 2014 in the market for interest rate derivatives (IRD) and index credit default swaps (CDS). Notional volume and trade count data is taken directly from the ISDA SwapsInfo site (swapsinfo.org), using data from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories (SDRs). Additional volume data is taken from individual swap execution facility (SEF) websites.

March 2015

SwapsInfo 2014 Year in Review

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CONTENTS

Interest rate derivatives trading observations ................................................................03

SDR daily volume trends: IRD on- versus off-venue .......................................................05

SDR daily volume trends: IRD cleared versus non-cleared .............................................07

SDR daily volume trends: IRD by taxonomy ...................................................................09

SDR daily volume trends: IRD by currency ....................................................................10

SEF weekly volume trends: IRD ....................................................................................11

Credit default swap index trading observations .............................................................12

SDR daily volume trends: CDS index on- versus off-venue .............................................14

SDR daily volume trends: CDS index cleared versus non-cleared ...................................16

SDR daily volume trends: CDS index by taxonomy .........................................................18

SDR daily volume trends: CDS index by currency ..........................................................19

SEF weekly volume trends: CDS indices ........................................................................20

Appendix .......................................................................................................................21

INTEREST RATE DERIVATIVES TRADING OBSERVATIONS

• Over the course of 2014, total swap data repository (SDR)-reported average daily trade counts increased while notional volumes decreased, suggesting more frequent trading in smaller sizes is taking place. This inverse relationship was observed in both swap execution facility (SEF) and over-the-counter (OTC) trading (Charts 1A – 1D).

• On a year-on-year (YoY) basis, total average daily volume increased. Average daily trade counts grew by 44.6%, from 2,447 trades per day during 2013 to 3,539 during 2014. Average daily notional volume also increased, growing by 118.6%, from $237.6 billion to $519.4 billion. The daily average trade size of an interest rate derivatives (IRD) transaction increased from roughly $97.1 million in 2013 to $146.8 million in 2014 (Charts 1A – 1D).

• Cleared IRD transactions continued to grow as a percentage of total volume in 2014. Average daily trade counts and notional volume accounted for 62.7% and 76.5%, respectively, of the total in 2014, versus 58.1% and 71.7% in 2013 (Charts 2A – 2D).

• SDR-reported SEF trading accounted for roughly half of the total volume in 2014. Average daily trade counts accounted for 46.8% of total trading, while average daily notional volume made up 52.4% of the total. Daily average SEF trade counts increased by 3.9% from the first quarter of 2014 to the fourth quarter, while notional volume decreased 20.4% during that time (Charts 1A – 1D).

• Increases in average daily volume were mostly driven by fixed-floating IRS during the year. Average daily trade counts increased by 21.0% from the first quarter of 2014 to the fourth quarter, while average daily volume increased by 10.0% (Charts 3A – 3B).

• US dollar-denominated trade counts and notional volume accounted for over half of total volume in 2014 (51.7% and 52.8%, respectively). ‘Other’ non-G-4 currencies saw the highest YoY growth in trade counts (51.2%), while UK sterling saw the highest YoY growth in notional volume (202.8%) (Charts 3C – 3D).

• SEF average weekly notional volumes have drifted lower throughout 2014, falling 14.6%, from $1,732.3 billion during the first quarter to $1,478.9 billion during the last three months of the year. During this time, SDR-reported weekly on-venue trade counts increased by 4.0% (Chart 4).


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Jan-

13

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Mar-13

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3

May-1

3

Jun-

13

Jul-1

3

Aug-1

3

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13

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SEF Notional OTC Notional Total Notional

Chart 1A: IRD Average Daily Trade Count: SEF, OTC, Total

Chart 1B: IRD Average Daily Notional Volume: SEF, OTC, Total

Chart 1C: IRD Weekly Trade Counts: SEF, OTC, Total

Chart 1D: IRD Weekly Notional Volume: SEF, OTC, Total

SDR DAILY VOLUME TRENDS: IRD ON- VERSUS OFF-VENUE (CHARTS 1A – 1D)

• Average daily IRD total trade counts increased while notional volume decreased in 2014, indicating a shift to more frequent trading in smaller sizes. Average total trade counts increased by 4.9%, from 3,622 trades per day in the first quarter of 2014 to 3,800 in the last three months of the year. Volume decreased substantially, falling 17.6% from $588.0 billion to $484.4 billion per day1.

• Average daily total trade counts grew YoY, increasing by 44.6%, from 2,447 trades per day in 2013 to 3,539 in 2014. During this time, average daily notional volume also increased, growing by 118.6%, from $237.6 billion per day in 2013 to $519.4 billion in 2014.

• IRD SEF trade counts and notional also moved inversely in 2014.

• Average daily SEF trade counts increased by 3.9%, from 1,609 trades per day during the first quarter to 1,672 during the fourth quarter of 2014. Volume was highest during the third quarter, at 1,723 trades per day.

• Average daily SEF notionals decreased 20.4%, from $304.8 billion to $242.5 billion during the same period. Average daily notionals were highest during the first quarter, at $304.8 billion.

• OTC trade counts rose slightly more in the year versus SEF trade counts while notional volumes also declined.

• Average daily trade counts increased by 5.7%, from 2,012 per day during the first quarter to 2,128 during the last three months of the year. Trade counts were highest in the first and fourth quarters.

• Average daily volume fell by 14.6%, from $283.2 billion to $241.9 billion per day during the same period. Volumes were highest during the first quarter of the year.

1 SDR data is masked, which results in understated notional volumes. Total capped notional volume increased YoY, rising 33.6% for IRD, and decreased 12.9% for CDS reported to DTCC and Bloomberg SDRs


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Average Cleared Notional Average non-cleared Notional Average Total Notional

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Jan-

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Cleared Trade Count Non-cleared Trade Count Total Trade Count

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Jan-

13

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13

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Cleared Notional Non-cleared Notional Total Notional

Chart 2A: IRD Average Daily Trade Count: Cleared, Non-cleared, Total

Chart 2B: IRD Average Daily Notional Volume: Cleared, Non-cleared, Total

Chart 2C: IRD Weekly Trade Counts: Cleared, Non-cleared, Total

Chart 2D: IRD Weekly Notional Volume: Cleared, Non-cleared, Total

SDR DAILY VOLUME TRENDS: IRD CLEARED VERSUS NON-CLEARED (CHARTS 2A – 2D)

• SDR cleared trade counts and notional amounts decreased during 2014.

• Average daily cleared trade counts decreased 6.0%, from 2,326 trades per day during the first quarter of 2014 to 2,186 during the last three months of the year.

• At first glance, it may appear that less is being cleared. However, cleared trade counts made up 58.1% of total daily trade counts in 2013. By 2014, this figure had increased to 62.7%.

• Average daily notionals also decreased, falling 23.7% from $454.2 billion during the first quarter to $346.6 billion during the fourth quarter of 2014. The steeper decline in notionals versus trade counts suggests smaller trade sizes are being executed in the market.

• Average daily non-cleared trade counts and notionals increased during 2014. The most significant volume was observed during the first and fourth quarters of the year for both metrics.

• Average daily non-cleared trade counts increased by 24.5%, from 1,296 trades per day during the first three months of the year to 1,614 during the fourth quarter.

• Average daily non-cleared notionals increased by 3.0%, from $133.8 billion to $137.8 billion during this time.

• In 2013, non-cleared trade counts comprised 41.9% of total daily trade counts. During 2014, this figure decreased to 37.3%. Similarly, notional volume decreased from 28.3% to 23.5%.


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13

Jul-1

3

Aug-1

3

Sep-

13

Oct-13

Nov-1

3

Dec-1

3

Jan-

14

Feb-

14

Mar-14

Apr-1

4

May-1

4

Jun-

14

Jul-1

4

Aug-1

4

Sep-

14

Oct-14

Nov-1

4

Dec-1

4

FRA IRS Fixed-Float OIS Other Total

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$500.0

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$1,500.0

$2,000.0

$2,500.0

$3,000.0

$3,500.0

$4,000.0

$4,500.0

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13

Feb-

13

Mar-13

Apr-1

3

May-1

3

Jun-

13

Jul-1

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Aug-1

3

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Jan-

14

Feb-

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Sep-

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Oct-14

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13

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14

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USD EUR GBP JPY Other Total

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13

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Apr-1

3

May-1

3

Jun-

13

Jul-1

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Aug-1

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14

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Dec-1

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Chart 3A: IRD Weekly Trade Counts by Taxonomy

Chart 3B: IRD Weekly Notional Volume by Taxonomy

Chart 3C: IRD Weekly Trade Counts by Currency

Chart 3D: IRD Weekly Notional Volume by Currency

SDR DAILY VOLUME TRENDS: IRD BY TAXONOMY (CHARTS 3A – 3B)

• The 4.9% increase in total IRD trade counts was mostly driven by a 21.0% increase in fixed-floating IRS in 2014, which grew from 2,205 trades per day during the first quarter to 2,667 during the last three months of the year. This taxonomy also showed a 10.0% increase in notional volume during this time (while the total decreased).

• Overnight indexed swap (OIS) and forward rate agreement trade counts decreased by 11.7% and 36.1%, respectively, between the first and fourth quarters of the year. Trade counts were the highest for both taxonomies during the first three months of 2014. During this time, notionals have also decreased, falling 22.0% and 35.6%, respectively.

• OIS showed the most substantial YoY growth of the liquid taxonomies, increasing by 69.8%. Average daily OIS trade counts rose from 64 per day in 2013 to 109 in 2014. Notional volume rose 329.6% during this time, from $21.4 billion to $91.9 billion.

• Fixed-floating IRS also showed a substantial increase in YoY trade count growth, rising by 50.8%, from 1,540 trades per day in 2013 to 2,322 in 2014. Notional volume rose by 83.6% during this time, from $94.6 billion to $173.8 billion.


9

SDR DAILY VOLUME TRENDS: IRD BY CURRENCY (CHARTS 3C – 3D)

• US dollar- and yen-denominated swaps grew in terms of trade counts in 2014. US dollar swaps increased by 10.7%, from 1,773 trades per day in the first quarter to 1,963 in the fourth quarter of the year. Yen-denominated swaps increased by 13.0% during this time, from 148 trades per day to 168. Yen was the only G-4 currency to display an increase in notional volume during the year (1.6%).

• Euro-denominated swaps showed the largest decrease in trade count in 2014, falling 10.6%, from 690 trades per day in the first quarter to 617 in the fourth quarter. At this time, notional volume fell 48.0%.

• YoY trade count growth was observed in all the G-4 currencies. US dollar-denominated swaps grew the most in 2014, increasing by 46.2%, from 1,251 trades per day in 2013 to 1,828 during 2014. Euro-denominated swaps grew in similar proportion, increasing by 44.8%, from 393 trades per day to 569.

• ‘Other’ non-G-4-denominated swaps increased the most in terms of trade counts YoY, growing by 51.2%, from 521 trades per day during 2013 to 788 trades per day in 2014. Notional volumes increased by 95.7% during this time, from $27.8 billion per day to $54.3 billion.

• YoY growth in notional volumes outpaced trade count growth. Sterling-denominated swaps grew the most, increasing by 202.8%, from $16.1 billion during 2013 to $48.7 billion during 2014. Euro- and US dollar-denominated swaps grew by 133.2% and 111.1%, respectively, during this time.


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SEF WEEKLY VOLUME TRENDS: IRD (CHART 4)• Average weekly SEF trade counts displayed an upward trend in 2014,

increasing by 4.0%, from 8,328 in the first three months of the year to 8,661 in the fourth quarter2.

• Average weekly SEF-reported notional volumes have drifted lower throughout the year, falling 14.6% from $1,732.3 billion during the first quarter to $1,478.9 billion in the fourth quarter.

• Although the trend was generally lower, the fourth quarter showed some resilience after a quiet previous three-month period, which can likely be attributed to December interest rate swap roll volumes.

• SEF trading patterns suggest more frequent trading in smaller notional size is occurring on electronic venues.

2 SEF trade counts were taken from the DTCC and Bloomberg SDRs


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SEF-reported Weekly Notional Volume SDR Weekly Notional Volume SDR Weekly Trade Counts

Chart 4: IRD Average Weekly SEF Trade Count/Notional Volume

CREDIT DEFAULT SWAP INDEX TRADING OBSERVATIONS

• Unlike IRD, total credit default swap (CDS) index SDR-reported average daily trade counts and notional volume increased during 2014. SEF volumes increased during the year, while OTC volumes decreased.

• On a YoY basis, total average daily volume increased. Average daily trade counts grew by 12.2%, from 754 trades per day during 2013 to 846 during 2014. Average daily notional volume also increased, growing by 6.9%, from $28.5 billion to $30.5 billion. The daily average size of a CDS index transaction decreased slightly, from $37.8 million in 2013 to $36.1 million in 2014.

• Cleared CDS index transactions continued to grow as a percentage of total volume in 2014. Average daily trade counts and notional volume accounted for 76.2% and 74.7%, respectively, of the total in 2014, versus 35.5% and 37.7% in 2013.

• SDR-reported SEF average daily trade counts accounted for 67.8% of total trading, while SEF average daily notional volume comprised 62.4% of the total in 2014. Daily average SEF trade counts increased by 87.8% from the first quarter to the fourth quarter, while notional volume increased by 71.9% during that time.

• Increases in average daily volume during the year were mostly driven by trading of the CDX High Yield and iTraxx Europe Crossover indices. Average daily trade counts increased by 43.2% and 70.0%, respectively, from the first quarter to the third quarter, while average daily notional volume increased by 38.2% and 54.1%. The CDX NA Investment Grade and High Yield indices accounted for a combined 44.7% of total trade counts and 45.6% of total notional volume in 2014.

• US dollar- and euro-denominated trade counts and notional volume accounted for a combined 98.6% and 98.7%, respectively, of total volume in 2014. Both saw substantial increases in trade counts combined with modest increases in notional volume.

• SEF CDS index notional volume rose dramatically in October 2014 as new ISDA credit derivatives definitions came into force, while new series were rolled out in the benchmark CDX and iTraxx indices. Notional volumes reached roughly $530.0 billion in the week of October 6, 2014, surpassing previous highs. SEF trade counts totaled 6,640 in the week – a significant jump from the 2014 weekly average of 2,910.


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Jan-

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SEF Notional OTC Notional Total Notional

Chart 5A: CDS Index Average Daily Trade Count: SEF, OTC, Total

Chart 5B: CDS Index Average Daily Notional Volume: SEF, OTC, Total

Chart 5C: CDS Index Weekly Trade Counts: SEF, OTC, Total

Chart 5D: CDS Index Weekly Notional Volume: SEF, OTC, Total

SDR DAILY VOLUME TRENDS: CDS INDEX ON- VERSUS OFF-VENUE (CHARTS 5A – 5D)

• Average daily CDS index total trade counts and notional volume increased in 2014, and were driven by trades executed on SEFs. Average total trade counts grew by 25.1%, from 832 trades per day in the first quarter to 1,041 in the fourth quarter. Volume grew more modestly, increasing by 7.0%, from $31.9 billion to $34.2 billion per day.

• Average daily CDS index total trade counts grew YoY, increasing by 12.2%, from 754 trades per day in 2013 to 846 in 2014. During this time, average daily notional volume also increased, rising by 6.9%, from $28.5 billion per day in 2013 to $30.5 billion in 2014.

• CDS index SEF trade counts and notional volumes showed substantial increases 2014.

• Average daily SEF trade counts increased steadily during the year, growing by 87.8%, from 416 trades per day during the first quarter to 782 during the last three months of the year.

• Average daily SEF notionals also increased, growing by 71.9% from $14.4 billion per day to $24.8 billion.

• OTC trade counts steadily fell during 2014 as trading shifted to electronic venues.

• Average daily trade counts decreased 37.7%, from 416 per day during the first three months of the year to 259 during the fourth quarter.

• Average daily volume fell 46.4%, from $17.5 billion to $9.4 billion per day during the same period.


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Cleared Notional Non-cleared Notional Total Notional

Chart 6A: CDS Index Average Daily Trade Count: Cleared, Non-cleared, Total

Chart 6B: CDS Index Average Daily Notional Volume: Cleared, Non-cleared, Total

Chart 6C: CDS Index Weekly Trade Counts: Cleared, Non-cleared, Total

Chart 6D: CDS Index Weekly Notional Volume: Cleared, Non-cleared, Total

SDR DAILY VOLUME TRENDS: CDS INDEX CLEARED VERSUS NON-CLEARED (CHARTS 6A – 6D)

• Unlike IRD, CDS index SDR cleared trade counts and notional amounts steadily increased during 2014.

• Average daily cleared trade counts increased by 58.8%, from 536 trades per day during the first quarter to 851 during the fourth quarter. Cleared transactions increased by 141.2% YoY and accounted for 76.2% of total volume in 2014 versus 35.5% in 2013.

• Average cleared daily notionals also increased, rising by 40.6% from $20.1 billion during the first three months of the year to $28.2 billion during the fourth quarter. Cleared notional volume increased by 111.8% YoY and accounted for 74.7% of total volume in 2014 versus 37.7% in 2013.

• Average daily non-cleared trade counts and notionals decreased during 2014.

• Average daily non-cleared trade counts decreased 36.4%, from 300 trades per day during the first three months of the year to 191 during the fourth quarter.

• Average daily non-cleared notionals also decreased, falling 50.0% from $12.0 billion to $6.0 billion during this time.


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13

Oct-13

Nov-1

3

Dec-1

3

Jan-

14

Feb-

14

Mar-14

Apr-1

4

May-1

4

Jun-

14

Jul-1

4

Aug-1

4

Sep-

14

Oct-14

Nov-1

4

Dec-1

4

CDX NA High Yield CDX NA Investment Grade CDX Emerging Markets

iTraxx Europe iTraxx Europe Crossover iTraxx Europe Sr Financials

Other Total

$0.0

$50.0

$100.0

$150.0

$200.0

$250.0

$300.0

$350.0

$400.0

Jan-

13

Feb-

13

Mar-13

Apr-1

3

May-1

3

Jun-

13

Jul-1

3

Aug-1

3

Sep-

13

Oct-13

Nov-1

3

Dec-1

3

Jan-

14

Feb-

14

Mar-14

Apr-1

4

May-1

4

Jun-

14

Jul-1

4

Aug-1

4

Sep-

14

Oct-14

Nov-1

4

Dec-1

4

CDX NA High Yield CDX NA Investment Grade CDX Emerging Markets

iTraxx Europe iTraxx Europe Crossover iTraxx Europe Sr Financials

Other Total

-

2,000

4,000

6,000

8,000

10,000

12,000

Jan-

13

Feb-

13

Mar-13

Apr-1

3

May-1

3

Jun-

13

Jul-1

3

Aug-1

3

Sep-

13

Oct-13

Nov-1

3

Dec-1

3

Jan-

14

Feb-

14

Mar-14

Apr-1

4

May-1

4

Jun-

14

Jul-1

4

Aug-1

4

Sep-

14

Oct-14

Nov-1

4

Dec-1

4

EUR USD Other Total

$0.0

$50.0

$100.0

$150.0

$200.0

$250.0

$300.0

$350.0

$400.0

Jan-

13

Feb-

13

Mar-13

Apr-1

3

May-1

3

Jun-

13

Jul-1

3

Aug-1

3

Sep-

13

Oct-13

Nov-1

3

Dec-1

3

Jan-

14

Feb-

14

Mar-14

Apr-1

4

May-1

4

Jun-

14

Jul-1

4

Aug-1

4

Sep-

14

Oct-14

Nov-1

4

Dec-1

4

EUR USD Other Total

Chart 7A: CDS Index Weekly Trade Counts by Taxonomy

Chart 7B: CDS Index Weekly Notional Volume by Taxonomy

Chart 7C: CDS Index Weekly Trade Counts by Currency

Chart 7D: CDS Index Weekly Notional Volume by Currency

SDR DAILY VOLUME TRENDS: CDS INDEX BY TAXONOMY (CHARTS 7A – 7B)

• The 7.0% increase in total CDS index trade counts during 2014 was mostly driven by increases in CDX NA High Yield and iTraxx Europe trading. iTraxx Europe Crossover transactions increased 70.0% over this period. However, the index is not as liquid as the CDX NA High Yield and iTraxx Europe indices, and contributed less to the change in total trade counts.

• CDX NA High Yield average daily trade counts increased by 43.2%, from 192 trades per day during the first quarter to 275 during the last three months of the year. The iTraxx Europe increased by 23.1%, from 144 trades per day to 177 during this time.

• Decreases in average daily trade counts were observed in the CDX NA Investment Grade and iTraxx Europe Senior Financial indices during 2014. CDX NA Investment Grade index transactions fell 0.7%, from 186 trades per day during the first three months of the year to 184 during the fourth quarter. iTraxx Europe Senior Financials index transactions fell 11.0% from 37 trades per day to 33 during this time.

• YoY growth in trade counts was observed in all the liquid indices except the CDX NA Investment Grade index. Growth fell 7.3%, from 178 trades per day during 2013 to 165 during 2014.

• Growth in total notional volume was driven by the CDX NA High Yield and iTraxx Europe Crossover indices. CDX NA High Yield index volume increased by 38.2%, from $4.0 billion per day during the first quarter to $5.5 billion per day during the last three months of the year. The iTraxx Europe Crossover index increased by 54.1% during this time, from $2.4 billion to $3.7 billion.

• iTraxx Europe notional volumes grew a modest 1.8% during 2014, from $7.5 billion per day to $7.7 billion. Increases in trade counts, coupled with decreases or modest growth in notional volume, is likely attributed to increased transactions being conducted in smaller trade sizes.

• YoY growth in notional volumes was observed in all of the liquid indices except the CDX NA Investment Grade index, which declined 11.6% from $10.8 billion in 2013 to $9.6 billion in 2014.


18

SDR DAILY VOLUME TRENDS: CDS INDEX BY CURRENCY (CHARTS 7C – 7D)

• Combined US dollar- and euro-denominated volumes accounted for 99% of total CDS index volume in 2013 and 2014.

• US dollar- and euro-denominated CDS indices grew in terms of average daily trade counts in 2014. US dollar-denominated CDS indices increased by 16.5% during this time, from 507 trades per day during the first quarter to 590 during the last three months of the year. Euro-denominated CDS indices increased by 33.4%, from 320 trades per day to 427.

• Euro-denominated average daily trade counts grew the most YoY, increasing by 30.8% from 255 trades per day during 2013 to 333 in 2014. Euro-denominated CDS indices accounted for 39.4% of total CDS index transactions in 2014 versus 33.8% during 2013.

• Both US dollar- and euro-denominated CDS index notional volumes increased modestly in 2014, rising 5.0% and 4.8%, respectively, from the first quarter to the fourth quarter.

• Euro-denominated CDS index volume grew by 20.1% YoY, from $10.4 billion per day during 2013 to $12.4 billion during 2014. US-denominated CDS index notional volume declined by 1.7% during this time. Euro-denominated CDS indices accounted for 40.7% of total notional volume during 2014 versus 36.4% during 2013.


19

SEF WEEKLY VOLUME TRENDS: CDS INDICES (CHART 8)

• Average weekly SEF trade counts displayed a strong upward trend in 2014, increasing by 86.3%, from 2,144 during the first quarter to 3,995 during the last three months of the year3.

• Unlike IRD, average weekly SEF CDS index notional volumes have increased throughout the year, rising 87.4% from $100.1 billion during the first quarter to $187.7 billion in the fourth quarter.

• Volume rose dramatically in October 2014 as new ISDA credit derivatives definitions came into force, while new series were rolled out in the benchmark CDX and iTraxx indices.

• SEF notional volumes reached roughly $530.0 billion in the week of October 6, 2014, surpassing previous highs, as well as the 2014 weekly average of $132.0 billion. SEF trade counts totaled 6,640 in the week, a significant jump from the 2014 weekly average of 2,910.

3 SEF trade counts were taken from the DTCC and Bloomberg SDRs


20

-

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

$0.0

$20.0

$40.0

$60.0

$80.0

$100.0

$120.0

$140.0

$160.0

$180.0

$200.0

Q12014 Q22014 Q32014 Q42014

SEF-reported Weekly Notional Volume SDR Weekly Notional Volume SDR Weekly Trade Counts

Chart 8: CDS Index Average Weekly SEF Trade Count/Notional Volume

APPENDIX – SDR/SEF DATA


21

Average SEF Trade

Count

Average OTC Trade

Count

Average Total Trade Count

Average SEF

Notional

Average OTC

Notional

Average Total

Notional

Q12013 4 2,509 2,513 $0.2 $197.8 $198.0

Q22013 3 2,457 2,459 $0.1 $172.0 $172.2

Q32013 0 2,249 2,249 $0.0 $189.7 $189.7

Q42013 1,020 1,552 2,572 $177.7 $209.9 $387.6

Q12014 1,609 2,012 3,622 $304.8 $283.2 $588.0

Q22014 1,614 1,611 3,225 $285.0 $234.0 $519.0

Q32014 1,723 1,784 3,507 $259.0 $230.3 $489.2

Q42014 1,672 2,128 3,800 $242.5 $241.9 $484.5

Y2013 261 2,187 2,447 $45.2 $192.4 $237.6

Y2014 1,655 1,883 3,539 $272.4 $247.0 $519.4

Table 1: IRD Daily Average SEF/OTC Trade Count and Notional Volume (US$ billions)

Table 2: IRD Daily Average Cleared/Non-cleared Trade Count and Notional Volume (US$ billions)

Average Cleared Trade Count

Average Non-

cleared Trade Count


Average Cleared Notional

Average Non-

cleared Notional

Average Total

Notional

Q12013 1,162 1,351 2,513 $114.7 $83.3 $198.0

Q22013 1,376 1,083 2,459 $114.3 $57.9 $172.2

Q32013 1,421 828 2,249 $140.9 $48.8 $189.7

Q42013 1,720 852 2,572 $308.0 $79.6 $387.6

Q12014 2,326 1,296 3,622 $454.2 $133.8 $588.0

Q22014 2,111 1,114 3,225 $412.9 $106.1 $519.0

Q32014 2,250 1,257 3,507 $378.0 $111.2 $489.2

Q42014 2,186 1,614 3,800 $346.6 $137.8 $484.4

Y2013 1,423 1,025 2,447 $170.3 $67.2 $237.6

Y2014 2,217 1,321 3,539 $397.2 $122.2 $519.4


22

Table 3A: IRD Daily Average Trade Count by Taxonomy Table 3C: IRD Daily Average Trade Count by Currency

Table 3B: IRD Daily Average Notional Volume (US$ billions) by Taxonomy Table 3D: Daily Average Notional Volume (US$ billions) by Currency


Q12013 510 1,416 67 520 2,513

Q22013 363 1,587 58 452 2,459

Q32013 349 1,463 52 385 2,249

Q42013 359 1,687 81 445 2,572

Q12014 647 2,205 124 646 3,622

Q22014 512 2,058 92 564 3,225

Q32014 464 2,348 111 583 3,507

Q42014 413 2,667 110 611 3,800

Y2013 394 1,540 64 449 2,447

Y2014 507 2,322 109 601 3,539


Q12013 $81.5 $74.2 $9.8 $32.5 $198.0

Q22013 $54.9 $80.5 $7.8 $29.0 $172.2

Q32013 $63.8 $84.8 $10.6 $30.5 $189.7

Q42013 $138.4 $137.8 $56.7 $54.6 $387.6

Q12014 $235.2 $176.4 $96.1 $80.3 $588.0

Q22014 $191.4 $155.3 $106.4 $65.8 $519.0

Q32014 $164.8 $169.2 $90.4 $64.8 $489.2

Q42014 $151.4 $194.1 $75.0 $64.0 $484.4

Y2013 $84.8 $94.6 $21.4 $36.8 $237.6

Y2014 $185.1 $173.8 $91.9 $68.6 $519.4


Q12013 1,183 445 187 116 582 2,513

Q22013 1,242 363 145 147 562 2,459

Q32013 1,152 349 182 95 471 2,249

Q42013 1,422 417 161 98 473 2,572

Q12014 1,773 690 245 148 766 3,622

Q22014 1,714 485 184 119 722 3,225

Q32014 1,857 488 190 141 831 3,507

Q42014 1,963 617 223 168 829 3,800

Y2013 1,251 393 169 114 521 2,447

Y2014 1,828 569 210 144 788 3,539


Q12013 $101.5 $43.6 $15.0 $7.4 $30.6 $198.0

Q22013 $92.3 $33.2 $10.8 $8.6 $27.3 $172.2

Q32013 $104.8 $41.0 $15.9 $6.9 $21.1 $189.7

Q42013 $219.2 $105.1 $22.4 $8.7 $32.1 $387.6

Q12014 $288.4 $188.2 $42.9 $12.6 $55.8 $588.0

Q22014 $262.2 $137.5 $58.3 $10.1 $50.9 $519.0

Q32014 $270.6 $100.9 $51.9 $11.6 $54.2 $489.2

Q42014 $276.3 $97.8 $41.3 $12.8 $56.2 $484.4

Y2013 $129.9 $55.9 $16.1 $7.9 $27.8 $237.6

Y2014 $274.3 $130.4 $48.7 $11.8 $54.3 $519.4


23

Table 5: CDS Index Daily Average SEF/OTC Trade Count and Notional Volume (US$ billions)

Average SEF Trade

Count

Average OTC Trade Count


Average SEF

Notional

Average OTC

Notional

Average Total

Notional

Q12013 2 794 796 $0.1 $30.3 $30.4

Q22013 14 965 979 $0.5 $33.8 $34.3

Q32013 18 611 629 $0.6 $23.9 $24.5

Q42013 182 433 615 $6.7 $18.2 $24.9

Q12014 416 416 832 $14.4 $17.5 $31.9

Q22014 427 200 627 $15.0 $9.5 $24.5

Q32014 657 221 878 $21.6 $9.6 $31.1

Q42014 782 259 1,041 $24.8 $9.4 $34.2

Y2013 182 433 754 $6.7 $18.2 $28.5

Y2014 573 273 846 $19.0 $11.4 $30.5

SEF-reported Weekly

Notional Volume

SDR Weekly

Notional Volume

SEF-reported

Daily Notional Volume

SDR Daily Notional Volume

SDR Weekly Trade

Counts

SDR Daily Trade

Counts

Q12014 $1,732.3 $1,571.9 $346.5 $304.8 8,328 1,609

Q22014 $1,614.4 $1,398.8 $322.9 $285.0 7,928 1,614

Q32014 $1,401.0 $1,267.4 $280.2 $259.0 8,610 1,723

Q42014 $1,478.9 $1,271.7 $295.8 $242.5 8,661 1,672

Y2014 $1,558.2 $1,379.5 $311.6 $272.4 8,376 1,655

Table 4: SEF IRD Average Daily/Weekly Trade Counts and Notional Volume (US$ billions)


24

Table 6: CDS Index Daily Average Cleared/Uncleared Trade Count and Notional Volume (US$ billions)

Average Cleared Trade Count

Average Non-

cleared Trade Count


Average Cleared Notional

Average Non-

cleared Notional

Average Total

Notional

Q12013 185 611 796 $7.4 $23.0 $30.4

Q22013 317 662 979 $12.9 $21.4 $34.3

Q32013 243 387 629 $9.6 $14.9 $24.5

Q42013 322 293 615 $12.9 $11.9 $24.9

Q12014 536 300 832 $20.1 $12.0 $31.9

Q22014 473 154 627 $17.8 $6.6 $24.5

Q32014 713 165 878 $24.8 $6.4 $31.1

Q42014 851 191 1,041 $28.2 $6.0 $34.2

Y2013 268 486 754 $10.7 $17.7 $28.5

Y2014 645 201 846 $22.8 $7.7 $30.5

Table 7A: CDS Index Daily Average Trade Count by Taxonomy

Table 7B: CDS Index Daily Average Notional Volume (US$ billions) by Taxonomy


25

CDX NA High Yield

CDX NA Investment Grade

CDX Emerging Markets

iTraxx Europe iTraxx Europe Crossover

iTraxx Europe Sr Financials

Other Total

Q12013 120 215 12 127 74 34 214 796

Q22013 211 218 19 146 94 28 263 979

Q32013 148 143 25 98 74 15 126 629

Q42013 144 140 18 99 68 26 121 615

Q12014 192 186 38 144 113 37 123 832

Q22014 158 137 28 118 62 26 98 627

Q32014 224 154 29 137 138 56 140 878

Q42014 275 184 40 177 192 33 140 1,041

Y2013 156 178 19 117 77 26 188 754

Y2014 213 165 34 144 127 38 154 846

CDX NA High Yield

CDX NA Investment Grade

CDX Emerging Markets

iTraxx Europe iTraxx Europe Crossover

iTraxx Europe Sr Financials

Other Total

Q12013 $3.0 $12.5 $0.3 $6.0 $1.3 $1.2 $6.2 $30.4

Q22013 $5.0 $13.3 $0.4 $7.0 $1.9 $0.9 $5.8 $34.3

Q32013 $3.2 $8.9 $0.4 $5.3 $1.7 $0.5 $4.5 $24.5

Q42013 $3.3 $8.7 $0.3 $5.5 $1.5 $1.0 $4.6 $24.9

Q12014 $4.0 $10.9 $0.7 $7.5 $2.4 $1.4 $4.9 $31.9

Q22014 $3.3 $7.8 $0.5 $5.9 $1.4 $1.1 $4.5 $24.5

Q32014 $4.5 $8.9 $0.4 $6.8 $2.7 $2.1 $5.7 $31.1

Q42014 $5.5 $10.6 $0.8 $7.7 $3.7 $1.2 $4.8 $34.2

Y2013 $3.6 $10.8 $0.4 $5.9 $1.6 $0.9 $5.6 $28.5

Y2014 $4.3 $9.6 $0.6 $7.0 $2.6 $1.5 $6.3 $30.5


26

Table 7D: CDS Index Daily Average Trade Count and Notional Volume (US$ billions) by Currency

Table 7C: CDS Index Daily Average Trade Count and Notional Volume (US$ billions) by Currency

Average EUR Trade Count

Average USD Trade Count

Average Other Trade Count


Q12013 285 500 11 796

Q22013 298 673 8 979

Q32013 220 404 5 629

Q42013 218 391 7 615

Q12014 320 507 9 832

Q22014 224 394 5 627

Q32014 360 513 6 878

Q42014 427 590 6 1,041

Y2013 255 491 8 754

Y2014 333 501 6 846

Average EUR Notional

Average USD Notional

Average Other Notional

Average Total Notional

Q12013 $11.1 $19.2 $0.2 $30.4

Q22013 $11.5 $22.7 $0.1 $34.3

Q32013 $9.3 $15.1 $0.1 $24.5

Q42013 $9.6 $15.1 $0.1 $24.9

Q12014 $13.0 $18.9 $0.2 $31.9

Q22014 $9.8 $14.3 $0.1 $24.5

Q32014 $13.3 $17.7 $0.1 $31.1

Q42014 $13.6 $19.8 $0.1 $34.2

Y2013 $10.4 $18.0 $0.1 $28.5

Y2014 $12.4 $17.7 $0.1 $30.5

SEF-reported Weekly

Notional Volume

SDR Weekly

Notional Volume

SEF-reported

Daily Notional Volume

SDR Daily Notional Volume

SDR Weekly Trade

Counts

SDR Daily Trade

Counts

Q12014 $100.1 $74.7 $20.0 $14.4 2,144 416

Q22014 $102.1 $73.6 $20.4 $15.0 2,102 427

Q32014 $142.3 $113.6 $28.5 $21.6 3,482 657

Q42014 $187.7 $126.8 $37.5 $24.8 3,995 782

Y2014 $132.0 $96.6 $26.4 $19.0 2,910 573

Table 8: SEF CDS Index Average Daily/Weekly Trade Counts and Notional Volume (US$ billions)

ISDA has published other recent research notes:

• OTC Derivatives Market Analysis: Interest Rate Derivative, January 2015:http://www2.isda.org/attachment/NzIxMQ==/OTC%20Derivatives%20Market%20Analysis-%20Interest%20Rate%20Derivatives%20FINAL.pdf

• ISDA Insight: A Survey of Issues and Trends for the Derivatives End-user Community, January 2015:http://www2.isda.org/attachment/NzE3Ng==/ISDA%20Insight%20End%20User%20Survey%20January%202015%20FINAL.pdf

• Dispelling Myths: End-User Activity in OTC Derivatives, August 2014:http://www2.isda.org/attachment/Njc2Nw==/ISDA-Dispelling%20myths-final.pdf

ABOUT ISDASince 1985, ISDA has worked to make the global over-the-counter (OTC) derivatives markets safer and more efficient. Today, ISDA has over 800 member institutions from 67 countries. These members include a broad range of OTC derivatives market participants including corporations, investment managers,

government and supranational entities, insurance companies, energy and commodities firms, and international and regional banks. In addition to market participants, members also include key components of the derivatives market infrastructure including exchanges, clearing houses and repositories, as well as

law firms, accounting firms and other service providers. Information about ISDA and its activities is available on the Association’s web site: www.isda.org.

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc.

For more on ISDA Research, please contact:Audrey Costabile Blater, PhDDirector of Research, [email protected]


SwapsInfo 2014 Year in Review March 16 2015

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