Interest Rate Derivatives Trading Activity in the EU, UK and US: June 2021

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

Joint Paper on UK EMIR Reform

On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...

Response to FCA on UK EMIR Reporting

On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...

CDS Trading Activity in EU, UK and US Markets

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...