This report analyzes 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 full year 2022 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $184.4 trillion.
- IRD traded notional reported by APAs and TVs in the UK accounted for 73.0% of total European IRD traded notional, while EU IRD traded notional accounted for 27.0%.
- Euro-denominated IRD traded notional accounted for 50.8% of total European IRD traded notional. Sterling-denominated transactions comprised 19.1% of traded notional, while contracts denominated in US dollars contributed 18.3%.
- Overnight index swaps accounted for 50.5% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 30.0% and 15.1%, respectively.
- 44.8% of total European IRD traded notional took place on TVs and 44.0% was executed by systematic internalizers. The remaining 11.2% of IRD traded notional was reported as XOFF.
Documents (1) for IRD Trading Activity Reported in EU, UK and US Markets: Full Year of 2022 and Fourth Quarter of 2022
Latest
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...