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-SIFMA letter to SEC on Swap Dealer Thresholds
ISDA and SIFMA have submitted a comment letter to the SEC in response to the staff report on the definitions of “security-based swap dealer” and “major security-based swap participant.” The associations recommend maintaining the current de minimis thresholds for both...
ISDA responds to RBI consultation on SA-CCR
On July 1, ISDA responded to the Reserve Bank of India's (RBI) consultation on draft amendment directions on the standardized approach for counterparty credit risk (SA-CCR). ISDA broadly welcomes the RBI's move to SA-CCR and updated capital treatment for exposures...
Data Subject Access Request Form
Pursuant to its mission to promote safe and efficient markets within the over-the-counter (OTC) derivatives industry, The International Swaps and Derivatives Association, Inc. (ISDA) processes personal data of its employees, members and non-members (for example individuals attending ISDA conferences or...
ISDA and GDF publish tokenization report
ISDA and Global Digital Finance have published a report that examines the viability of using tokenized money market funds (MMFs) as collateral for derivatives within existing US legal, regulatory and operational frameworks. Based on feedback from over 120 firms, the report...