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 full year 2022 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $184.4 trillion.
- IRD traded notional reported by APAs and TVs in the UK accounted for 73.0% of total European IRD traded notional, while EU IRD traded notional accounted for 27.0%.
- Euro-denominated IRD traded notional accounted for 50.8% of total European IRD traded notional. Sterling-denominated transactions comprised 19.1% of traded notional, while contracts denominated in US dollars contributed 18.3%.
- Overnight index swaps accounted for 50.5% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 30.0% and 15.1%, respectively.
- 44.8% of total European IRD traded notional took place on TVs and 44.0% was executed by systematic internalizers. The remaining 11.2% of IRD traded notional was reported as XOFF.
Documents (1) for IRD Trading Activity Reported in EU, UK and US Markets: Full Year of 2022 and Fourth Quarter of 2022
Latest
ISDA AGM Studio: David Bailey
David Bailey, executive director, prudential policy, at the Bank of England, speaks with ISDA CEO Scott O’Malia about the UK’s approach to Basel 3.1, the impact of the revised US Basel III endgame on cross‑border consistency and the role of the...
ISDA AGM Studio: Harleen Bains and Sonali Das Theisen
How have trading desks responding to increased market volatility this year? Harleen Bains, ISDA board member and head of global markets sales, Canada, at RBC Capital Markets, and Sonali Das Theisen, global head of FICC e‑trading and markets strategic investments...
ISDA AGM Studio: Scott O'Malia and Chris Edmonds
Christopher Edmonds, president, fixed income & data services, at Intercontinental Exchange, speaks with Scott O’Malia, ISDA CEO, about how market volatility, regulatory change and technological transformation are reshaping global markets. The discussion explores what recent volatility has meant for participation,...
ISDA AGM Studio: Bill Borden, Microsoft
Bill Borden, corporate vice president, worldwide financial services, at Microsoft, speaks with Mark New, ISDA’s co-head of digital transformation and senior counsel, about how artificial intelligence (AI) is shaping the future of financial markets and the key factors firms should...