The global derivatives markets – in particular, the market for euro interest rate swaps – remains fragmented along geographic lines, according to an analysis of data to June 30, 2015. This report is the fourth in a series of research notes charting changes in global liquidity pools since US swap execution facility (SEF) rules came into force in October 2013.

The global derivatives markets – in particular, the market for euro interest rate swaps – remains fragmented along geographic lines, according to an analysis of data to June 30, 2015. This report is the fourth in a series of research notes charting changes in global liquidity pools since US swap execution facility (SEF) rules came into force in October 2013.

Prior to the implementation of US SEF rules, approximately 25% of euro interest rate swaps (IRS) activity comprised trades between European and US dealers. By August 2014, the split in liquidity reached its peak, with this figure falling to about 3%. Since then, the share of euro IRS trading activity between European and US dealers has increased to as much as 14% (in December 2014). The latest analysis shows that approximately 10% of euro IRS activity has been traded between European and US dealers so far this year.

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