ISDA has expanded its SwapsInfo analysis to include interest rate derivatives (IRD) trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements (APAs) and trading venues (TVs).
Key highlights for June 2021 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $11.6 trillion. IRD traded notional reported by APAs and TVs in the UK comprised 73.9% of total European IRD traded notional, while EU IRD traded notional accounted for 26.1%.
- Euro-denominated IRD traded notional accounted for 40.9% of total European traded notional. Sterling-denominated transactions comprised 24.8% of traded notional, while contracts denominated in US dollars contributed 21.0%.
- Fixed-for-floating interest rate swaps accounted for 48.1% of total European IRD traded notional, while forward rate agreements and overnight index swaps totaled 13.5% and 31.5%, respectively.
- 56.0% of total European IRD traded notional was executed on TVs, 31.0% was executed by systemic internalizers and 13.0% was executed off venue.
- 61.6% of total European IRD traded notional was cleared.
Documents (1) for Interest Rate Derivatives Trading Activity in the EU, UK and US: June 2021
Latest
ISDA AGM Studio: David Bailey
David Bailey, executive director, prudential policy, at the Bank of England, speaks with ISDA CEO Scott O’Malia about the UK’s approach to Basel 3.1, the impact of the revised US Basel III endgame on cross‑border consistency and the role of the...
ISDA AGM Studio: Harleen Bains and Sonali Das Theisen
How have trading desks responding to increased market volatility this year? Harleen Bains, ISDA board member and head of global markets sales, Canada, at RBC Capital Markets, and Sonali Das Theisen, global head of FICC e‑trading and markets strategic investments...
ISDA AGM Studio: Scott O'Malia and Chris Edmonds
Christopher Edmonds, president, fixed income & data services, at Intercontinental Exchange, speaks with Scott O’Malia, ISDA CEO, about how market volatility, regulatory change and technological transformation are reshaping global markets. The discussion explores what recent volatility has meant for participation,...
ISDA AGM Studio: Bill Borden, Microsoft
Bill Borden, corporate vice president, worldwide financial services, at Microsoft, speaks with Mark New, ISDA’s co-head of digital transformation and senior counsel, about how artificial intelligence (AI) is shaping the future of financial markets and the key factors firms should...