Interest Rate Swap Market Complexity and Its Risk Management Implications

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left">Average daily notional value (million USD)</td><td class="align_center">Average notional of transactions (million USD)</td><td class="align_center">Number of distinct transactions</td><td class="align_center">Number of unique counterparties</td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left">156,671</td><td class="align_center">98.62</td><td class="align_center">560,911</td><td class="align_center">18,574</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr><tr class="table-fn"><td><div>Notes: this table shows the summary of the swap dataset made available to the US Commodity Futures Trading Commission.<br/></div></td></tr></table>

<div>Basic statistics on the interest rate swap transaction dataset (from 1/1/2015 to 5/31/2016).</div>

Complexity

tab2

Table 2

Table 2: Interest Rate Swap Market Complexity and Its Risk Management Implications 