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 December 2021 include:
Total European IRD trading activity reported by APAs and TVs in the EU and UK was $8.9 trillion, down from $14.5 trillion in November 2021.
Total IRD traded notional reported by APAs and TVs in the UK accounted for 72.5% of total European IRD traded notional, while EU IRD traded notional accounted for 27.5%.
Euro-denominated IRD traded notional accounted for 39.4% of total European IRD traded notional. Sterling-denominated transactions comprised 27.3% of traded notional, while contracts denominated in US dollars contributed 23.2%.
Overnight index swaps accounted for 45.8% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 43.2% and 6.4%, respectively.
48.0% of total European IRD traded notional was executed on TVs, 37.7% occurred on systemic internalizers and 14.2% took place off venue.