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 on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...
ISDA/IIF Response to EC Market Risk Consultation
On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...
ISDA Submits Letter on Environmental Credits
On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...