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
Latest
ISDA, FIA, GFMA, CMC, CMCE Respond to IOSCO on Best Practices for OTC Commodity Derivatives
ISDA, FIA, the Global Financial Markets Association (GFMA), the Commodity Markets Council (CMC) and the Commodity Markets Council Europe (CMCE), have responded to the International Organization of Securities Commissions' (IOSCO) consultation report on best practices for over-the-counter (OTC) commodity derivatives...
Joint Response to 2026 US G-SIB Surcharge Proposal
On June 18, ISDA, the Securities Industry and Financial Markets Association and the Institute of International Finance submitted a joint response to US agencies on proposed changes to the surcharge for global systemically important banks (G-SIBs). The associations welcome the...
Eyeing the Basel III Finish Line
An effective regulatory capital framework relies on multiple ingredients, from appropriate drafting to rigorous testing and consultation. Even minor calibration distortions can inflate capital requirements, which could negatively affect the capacity of banks to support deep and liquid markets, with...
Joint Comment Letter on Basel III Endgame Proposal
The Institute of International Finance (IIF), the International Swaps and Derivatives Association, Inc. (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) today submitted a joint comment letter to the Board of Governors of the Federal Reserve System, the...