ISDA Adds European IRDs to Swapsinfo

ISDA is expanding its SwapsInfo analysis to include interest rate derivatives (IRD) trading activity reported in Europe.

The analysis, which ISDA says is believed to be the first of its kind, is based on transactions publicly reported by 30 European approved publication arrangements and trading venues for May 2021. Previously the Swapsinfo report covered data from US markets.

The report analyses European transactions based on the location of reporting venues (EU versus UK), currency, product taxonomy, execution venue and cleared status.

The analysis also compares European IRD reported trading activity to what is reported in the US. US trading activity analysis is based on information from the Depository Trust & Clearing Corporation swap data repository, which only includes trades that are required to be disclosed under US regulations.

The first report highlights how the UK remains the dominant trading centre, with total IRD traded notional of $7.9 trillion in May 2021, 73.7% of all European trade in the product. Fixed-for-floating interest rate swaps make up almost half of trading in the UK, while the same product is 65% of trading in the European Union’s $2.8 trillion volume.

The report says that 65.8% of total UK IRD is cleared, while in the EU that number is 53.1%.

Both centres were dwarfed by the US report, with $15.7 trillion being traded in May, almost 60% of the total across the three jurisdictions. Fixed-for-floating IRS was 44.9% of volume and 75.2% of transactions were cleared.