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.