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 November 2021 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $14.5 trillion, down from $15.2 trillion in October 2021.
- Total IRD traded notional reported by APAs and TVs in the UK accounted for 74.2% of total European IRD traded notional, while EU IRD traded notional accounted for 25.8%.
- Euro-denominated IRD traded notional accounted for 42.6% of total European IRD traded notional. Sterling-denominated transactions comprised 27.7% of traded notional, while contracts denominated in US dollars contributed 18.2%.
- Overnight index swaps accounted for 41.9% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 40.5% and 12.3%, respectively.
- 45.4% of total European IRD traded notional was executed on TVs, 39.3% occurred on systemic internalizers and 15.3% took place off venue.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: November 2021
Latest
ISDA ALF: Katherine Tew Darras Opening Remarks
ISDA Annual Legal Forum London, February 11, 2026 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to ISDA’s Annual Legal Forum. Thank you for joining us today and thanks to our platinum sponsors – Cleary...
Maintaining Focus on Basel III Endgame Recalibration
In its original form, the US Basel III endgame proposal would have resulted in disproportionate increases in capital for trading book activities, forcing banks to make difficult choices about their participation in certain businesses. After two-and-a-half years, a revised proposal...
IRRBB Management in EMDEs
Interest rate risk in the banking book (IRRBB) has become a growing priority for banks and regulators in emerging market and developing economies (EMDEs). As many of these countries face monetary tightening cycles and ongoing macroeconomic volatility, bank balance sheets...
Response to CPMI-IOSCO on Consultation
On February 5, ISDA and FIA responded to the Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) consultation on the management of general business risks and general business losses by financial market infrastructures (FMIs)....