Methodology for IRD and Credit Derivatives Reported in the EU and UK

Data Coverage and Sources

The analysis includes interest rate derivatives (IRD) and credit derivatives transactions publicly reported by 30 European approved publication arrangements (APAs) and trading venues (TVs). Although not all entities registered with ESMA and the UK Financial Conduct Authority (FCA) are included, the dataset is believed to capture the majority of OTC IRD activity in Europe. Of the 30 sources, 17 are UK-based and 13 are located in the EU.

UK trading activity is measured using traded notional and trade count reported by APAs and TVs located in the UK, while EU IRD trading activity is based on similar reports from APAs and TVs located in the EU. Of the 30 sources included, 17 are UK-based and 13 are based in the EU.

To collect the data, ISDA established daily feeds from eight APAs and 22 TVs. These feeds contain transactions across a range of asset classes, including interest rate, credit, equity, and commodity derivatives. A separate feed was also established from the Association of National Numbering Agencies’ (ANNA) Derivatives Service Bureau (DSB) to access newly issued International Securities Identification Numbers (ISINs). By matching ISINs to the reported transactions, ISDA identifies and isolates IRD and credit derivatives from other asset classes.

Data Processing and Classification

ISDA uses ISIN data to identify the instrument type (e.g., swap, option, forward), product taxonomy (e.g., fixed-for-floating IRS, FRAs, OIS for IRD; single-name or index CDS for credit derivatives), underlying reference rate or entity, and term. Additional trade attributes—such as publication ID, execution venue, notional amount and currency, publication timestamp, and reporting flags—are extracted directly from APA and TV reports.

The dataset includes only new trades. Cancelled transactions are removed, and amended trades are updated using the original transaction ID. Transactions reported with a four-week aggregation flag or a volume omission flag are also removed.

All notional values are converted to U.S. dollars using daily foreign exchange (FX) rates. Transactions are aggregated on a daily basis, with weekly traded notional representing the sum of converted notional for all trades executed between Saturday and Friday, and weekly trade count reflecting the total number of trades executed during that period.

Due to post-trade transparency deferrals, the majority of European transactions are published with a four- to five-week delay. Accordingly, data displayed on the SwapsInfo website is subject to a consistent five-week delay.

Data Limitations

While the dataset captures a large portion of OTC IRD trading in Europe, it does not represent the entire market. First, not all APAs and TVs registered with ESMA and the FCA are included. Second, the dataset only covers transactions subject to post-trade transparency requirements.

Under MiFIR, OTC derivatives that are not traded on TVs are still considered “traded on a trading venue” (TOTV)—and therefore subject to transparency rules—if they share the same reference data as those traded on TVs. However, OTC derivatives that are not TOTV are excluded from the dataset.

Additionally, cross-border trades may not be consistently reflected in European data. For example, when an EU counterparty faces a U.S. counterparty on a swap execution facility (SEF), ESMA does not require the EU firm to publish the transaction in the EU if the trade is subject to equivalent transparency rules elsewhere. As a result, these trades are captured in U.S. data only, potentially understating European traded notional. Duplicative reporting may also occur. Trades executed on multilateral trading facilities (MTFs) or organised trading facilities (OTFs) between EU and U.S. firms may be disseminated under both EU and U.S. rules. Since reporting regimes have not been deemed equivalent, such trades are treated as off-facility under U.S. rules and reported under CFTC regulations, while MTFs and OTFs are still obligated to report them under EU requirements.

LIST OF MAJOR VENUES REPORTING OTC IRD TRANSACTIONS INCLUDED IN THE ISDA EUROPEAN IRD MARKETS DATASET