Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
Traders piled into short-dated interest rate derivatives in April, with overnight index swaps (OIS) and forward rate agreements (FRAs) making up 61% of daily average turnover, data from the Bank for International Settlements’ (BIS) Triennial Central Bank Survey shows.
Total daily average turnover across all interest rate derivatives was $6.5 trillion on a ‘net-net’ basis, meaning it was adjusted for local and cross-border interdealer double-counting. OIS and FRAs, which are typically of shorter
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