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 October 2021 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $15.1 trillion, slightly down from $16.1 trillion in September 2021.
- IRD traded notional reported by APAs and TVs in the UK accounted for 76.5% of total European IRD traded notional, while EU IRD traded notional accounted for 23.5%.
- Euro-denominated IRD traded notional accounted for 35.4% of total European IRD traded notional. Sterling-denominated transactions comprised 39.0% of traded notional, while contracts denominated in US dollars contributed 15.4%.
- Overnight index swaps accounted for 49.6% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 37.8% and 7.8%, respectively.
- 46.5% of total European IRD traded notional occurred on TVs, 35.6% was executed by systemic internalizers and 17.9% was executed off venue.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: October 2021
Latest
ISDA AGM Studio: Emmanuel Geinoz and Eleanor Kelly
Five jurisdictions went live with revised derivatives reporting rules in 2024, with more to follow in 2025 and beyond, putting reporting teams under extreme pressure to implement accurately and on time to avoid regulatory penalties. Emmanuel Geinoz, market infrastructure and...
ISDA AGM Studio: Tyler Wellensiek, Stephen Berger
The first phase of the Securities and Exchange Commission’s Treasury clearing mandate will come into effect in December 2026 – a requirement that will have a significant impact on both US and non-US market participants. Tyler Wellensiek, ISDA board member...
ISDA AGM Studio: Jacques Vigner, BNP Paribas
Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...
ISDA AGM Studio: Future Leaders in Derivatives
Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...