Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: January 2022

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 January 2022 include:

  • Total European IRD trading activity reported by APAs and TVs in the EU and UK was $13.4 trillion, up from $8.9 trillion in December 2021.
  • Total IRD traded notional reported by APAs and TVs in the UK accounted for 75.8% of total European IRD traded notional, while EU IRD traded notional accounted for 24.2%.
  • Euro-denominated IRD traded notional accounted for 43.1% of total European IRD traded notional. Sterling-denominated transactions comprised 22.1% of traded notional, while contracts denominated in US dollars contributed 25.1%.
  • Overnight index swaps accounted for 49.2% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 30.8% and 14.6%, respectively.
  • 51.7% of total European IRD traded notional was executed on TVs, 41.0% was executed by systemic internalizers and 7.3% took place off venue.

In addition, ISDA has expanded its SwapsInfo website to include IRD trading activity reported in the EU and UK. The new data is based on transactions publicly reported by 30 European APAs and TVs. European data is based on the location of reporting venues (EU versus UK), product taxonomy, currency, tenor and execution venue. To access the expanded SwapsInfo website, click here.

Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: January 2022

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