ISDA Data Highlights Derivatives Q3 Trading Growth

The latest ISDA SwapsInfo Quarterly Review shows that traded notional volumes for interest rate (IRD) and credit derivatives rose in Q3 2021 compared to the same period in 2020, but year-to-date are down on the first three-quarters of that year.

The data provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency information. It is taken using information from the Depository Trust & Clearing Corporation and Bloomberg swap data repositories (SDRs) and covers only trades required to be disclosed under US regulations.

IRD traded notional grew by 8.9% and trade count increased by 21.0% year-on-year. Fixed-for-floating interest rate swaps (IRS) and overnight index swaps (OIS) traded notional increased by 52.5% and 46.9%, respectively, while forward rate agreement (FRA) traded notional decreased by 43.0% over the same period.

In the nine months to September 30, 2021, IRD traded notional fell by 10.0% compared to the first nine months of 2020. Trade count increased by 13.0% over the same period.

IRD traded notional increased to $49.6 trillion in the third quarter of 2021 on a year-on-year basis, within which single currency fixed-for-floating IRS traded notional increased to $21.1 trillion from $13.8 trillion. FRA traded notional dropped to $10.0 trillion from $17.6 trillion and OIS traded notional rose to $12.6 trillion from $8.6 trillion.

Single currency fixed-for-floating IRS accounted for 62.3% of total IRD trade count and 42.5% of total IRD traded notional. FRAs and OIS represented 20.2% and 25.5% of total traded notional and 9.1% and 15.4% of total trade count, respectively.

Cleared IRD transactions comprised 77.1% of total IRD traded notional and 73.2% of total trade count. 85.8% of fixed-for-floating IRS, 95.0% of FRA, 73.4% of OIS and 22.6% of other IRD traded notional was cleared.

SEF-traded IRD represented 65.2% of total traded notional and 66.1% of trade count, while 76.0% of fixed-for-floating IRS, 91.5% of FRA, 39.9% of OIS and 35.4% of other IRD traded notional was executed on SEFs.

Dollar-denominated IRD contracts accounted for 52.2% of total traded notional and 42.9% of total trade count. Euro-denominated transactions accounted for 21.6% of total traded notional and 19.9% of trade count and Sterling- denominated transactions comprised 13.2% and 9.3% of total IRD traded notional and trade count, respectively.

Fixed-for-floating IRS and OIS traded notional denominated in US dollars increased by 94.2% and 111.1% respectively, compared to the third quarter of 2020, while US dollar- denominated FRAs decreased by 67.3%. Euro-denominated IRS and FRA traded notional climbed by 63.7% and 115.1%, respectively, while euro-denominated OIS dropped by 3.9%. Sterling-denominated IRS and FRA traded notional decreased by 7.1% and 66.8%, respectively, while sterling- denominated OIS traded notional increased by 28.9%.

Credit derivatives traded notional increased by 17.7% and trade count decreased by 2.6% in the third quarter of 2021 compared to the third quarter of 2020. Traded notional increased across all major indices, including CDX HY, CDX IG and iTraxx Europe.

In the nine months to September 30, 2021, credit derivatives traded notional and trade count decreased by 16.1% and 23.3%, respectively, compared to the same period in 2020.