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