ISDA published a research note in which it analyzed interest rate derivatives ("IRD") notional outstanding data that was reported by the Bank for International Settlements. The purpose of ISDA's analysis was to "illuminate market trends."
ISDA highlighted the following findings, among others:
- clearing and compression had an important impact on IRD notional outstanding figures, which is shown by the estimated 67.5% of IRD notional outstanding that was cleared at the end of 2015;
- approximately 98% of IRD notional outstanding that could be cleared was being cleared, which took IRD instruments that were not yet accepted for clearing into account, as well as volume transacted by counterparties that were exempt from mandatory clearing;
- increased portfolio compression activity resulted in a decrease of 11.7% in IRD notional outstanding (from $434.7 to $384 trillion) in the six months that ended on December 31, 2015;
- portfolio compression caused a reduction of roughly 67% in overall IRD notional; and
- underlying IRD notional outstanding increased by 2.5% (from $680.2 to $697.5 trillion) over the six-month period that ended on December 31, 2015.
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