Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2022

This report analyzes 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 third quarter of 2022 include:

  • Total European IRD trading activity reported by APAs and TVs in the EU and UK was $43.8 trillion, up by 27.3% from $34.4 trillion in the third quarter of 2021.
  • Total IRD traded notional reported by APAs and TVs in the UK accounted for 71.4% of total European IRD traded notional, while EU IRD traded notional accounted for 28.6%.
  • Euro-denominated IRD traded notional accounted for 53.3% of total European IRD traded notional. Sterling-denominated transactions comprised 20.4% of traded notional, while contracts denominated in US dollars contributed 14.9%.
  • Overnight index swaps accounted for 55.3% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 28.3% and 11.9%, respectively.
  • 44.8% of total European IRD traded notional took place on TVs and 42.9% was executed by systematic internalizers. The remaining 12.4% of IRD traded notional was reported as XOFF.

Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2022

Joint Letter on Simplification of EU Taxonomy

On October 6, ISDA, the Association for Financial Markets in Europe (AFME), the European Fund and Asset Management Association (EFAMA), the European Association of Co-operative Banks (EACB) and the European Banking Federation (EBF) published a policy statement in support of...

Paper on Removal of SI Regime

On October 10, ISDA, the Association for Financial Markets in Europe (AFME) and the International Capital Market Association (ICMA) published a paper on the practical implications of the recent discontinuation of the systematic internalizer (SI) regime for derivatives, bonds and...

Episode 52: Innovative Thinking

The pace of change in derivatives markets shows no sign of letting up, with rapid evolution across trading, regulation and technology. Industry veteran Don Wilson, founder of trading firm DRW, talks to The Swap about some of the biggest trends....