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 July 2021 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $9.4 trillion. IRD traded notional reported by APAs and TVs in the UK comprised 76.6% of total European IRD traded notional, while EU IRD traded notional accounted for 23.4%.
- Euro-denominated RD traded notional comprised 40.8% of total European IRD traded notional. Sterling-denominated transactions made up 24.2% of traded notional, while contracts denominated in US dollars contributed 22.8%.
- Fixed-for-floating interest rate swaps accounted for 46.6% of total European IRD traded notional, while forward rate agreements and overnight index swaps totaled 12.3% and 34.4%, respectively.
- 56.0% of total European IRD traded notional was executed on TVs, 31.3% was executed by systemic internalizers and 13.7% was executed off venue.
- 64.9% of total European IRD traded notional was cleared.
Documents (1) for Interest Rate Derivatives Trading Activity in the EU, UK and US: July 2021
Latest
Response to EC Consultation on Carbon Price
On June 10, ISDA responded to the European Commission’s (EC) consultation on the calculation of the carbon price paid in a third country under Article 9 of the Carbon Border Adjustment Mechanism (CBAM). ISDA supports the EC’s proposal that evidence...
Response to CFTC on Clearing Requirements
On June 11, ISDA responded to the US Commodity Futures Trading Commission’s notice of proposed rulemaking on the clearing requirement determination under Section 2(h) of the Commodity Exchange Act for interest rate swaps to account for Canadian dollar-denominated and Mexican...
Digital Assets and Derivatives: Where Next?
Digital assets are moving into a phase of institutional integration into derivatives markets. Trading venues, custodial infrastructures and tokenization platforms now exist across both traditional financial markets and public blockchain networks. While this diversity has accelerated innovation and liquidity formation,...
ISDA Publishes ISDA SIMM® Methodology, Version 2.8+2512
Following the 2026 primary calibration exercise, ISDA is pleased to publish SIMM® version 2.8+2512. This version of the ISDA SIMM has updates that are based on the full recalibration of the model using historical data up to 31 December 2025....