Interest Rate Derivatives Trading Activity in the EU, UK and US: June 2021

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 June 2021 include:

  • Total European IRD trading activity reported by APAs and TVs in the EU and UK was $11.6 trillion. IRD traded notional reported by APAs and TVs in the UK comprised 73.9% of total European IRD traded notional, while EU IRD traded notional accounted for 26.1%.
  • Euro-denominated IRD traded notional accounted for 40.9% of total European traded notional. Sterling-denominated transactions comprised 24.8% of traded notional, while contracts denominated in US dollars contributed 21.0%.
  • Fixed-for-floating interest rate swaps accounted for 48.1% of total European IRD traded notional, while forward rate agreements and overnight index swaps totaled 13.5% and 31.5%, respectively.
  • 56.0% of total European IRD traded notional was executed on TVs, 31.0% was executed by systemic internalizers and 13.0% was executed off venue.
  • 61.6% of total European IRD traded notional was cleared.

Documents (1) for Interest Rate Derivatives Trading Activity in the EU, UK and US: June 2021

ISDA/IIB/SIFMA request to extend 22-14

This joint ISDA/IIB/SIFMA letter requests reporting relief for certain non-US swap dealers in Australia, Canada, the European Union, Japan, Switzerland or the United Kingdom with respect to their swaps with non-US persons.  The joint trade association letter, submitted to CFTC...

A Positive Step to Improve the FRTB in the EU

As the Basel III capital reforms are finalized for implementation in key jurisdictions, ISDA is maintaining a laser focus on making sure the rules are robust and risk-appropriate. Simply put, if capital requirements are set disproportionately high, this will have...