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 the first quarter of 2022 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $47.4 trillion, up by 22.6% from $38.6 trillion in the fourth quarter of 2021.
- Total IRD traded notional reported by APAs and TVs in the UK accounted for 75.2% of total European IRD traded notional, while EU IRD traded notional accounted for 24.8%.
- Euro-denominated IRD traded notional accounted for 45.0% of total European IRD traded notional. Sterling-denominated transactions comprised 17.8% of traded notional, while contracts denominated in US dollars contributed 27.1%.
- Overnight index swaps accounted for 47.1% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 34.4% and 13.5%, respectively.
- 44.2% of total European IRD traded notional was executed on TVs, 46.0% was executed by systematic internalizers and 9.8% was reported as XOFF.
This report used to be published on a monthly basis. Starting with the first quarter of 2022, the report will now be published quarterly.
In addition, ISDA has expanded its SwapsInfo website to include IRD trading activity reported in the EU and UK. To access the expanded SwapsInfo website, click here.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2022
Latest
New Selection Process for Standard Reference Obligations (SROs) FAQs
This Frequently Asked Questions (“FAQ”) document gives information about the new selection process for Standard Reference Obligations (SROs). Note that ISDA may update these FAQs on occasion. Please check back periodically for new versions.
Refreshing the FX Definitions
A lot has changed in the FX derivatives market since 1998, when the last set of standard definitions for FX transactions were published. Trading volumes have grown substantially, and average daily turnover has risen by six times. Market practices have...
ISDA & EMTA Publish New FX Definitions
ISDA and EMTA, Inc., the trade association for emerging markets, have jointly published a revised set of standard definitions for foreign exchange (FX) derivatives transactions, which update key market practices and consolidate various FX and FX-related product templates and provisions...
ISDA Position Paper on SFDR Review
On February 27, ISDA and the Association for Financial Markets in Europe (AFME) published a position paper on the European Commission’s (EC) proposed revisions to the Sustainable Finance Disclosure Regulation (SFDR 2.0). The paper welcomes the EC’s proposal as a...