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 the first quarter of 2022 include:

• Total European IRD trading activity reported by APAs and TVs in the EU and UK was $47.4 trillion, up by 22.6% from $38.6 trillion in the fourth quarter of 2021.
• Total IRD traded notional reported by APAs and TVs in the UK accounted for 75.2% of total European IRD traded notional, while EU IRD traded notional accounted for 24.8%.
• Euro-denominated IRD traded notional accounted for 45.0% of total European IRD traded notional. Sterling-denominated transactions comprised 17.8% of traded notional, while contracts denominated in US dollars contributed 27.1%.
• Overnight index swaps accounted for 47.1% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 34.4% and 13.5%, respectively.
• 44.2% of total European IRD traded notional was executed on TVs, 46.0% was executed by systematic internalizers and 9.8% was reported as XOFF.

This report used to be published on a monthly basis. Starting with the first quarter of 2022, the report will now be published quarterly.

In addition, ISDA has expanded its SwapsInfo website to include IRD trading activity reported in the EU and UK. To access the expanded SwapsInfo website, click here.