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 first quarter of 2023 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK increased by 22.0% to $53.4 trillion in the first quarter of 2023 from $43.7 trillion in the first quarter of 2022.
- IRD traded notional reported in the UK accounted for 72.0% of European IRD traded notional, while EU-reported traded notional comprised 28.0%.
- Euro-denominated IRD traded notional accounted for 56.4% of European IRD traded notional. Sterling-denominated transactions comprised 15.6% of European traded notional, while contracts denominated in US dollars made up 18.9%.
- Overnight index swaps accounted for 63.1% of European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 22.3% and 11.3%, respectively.
- 34.0% of European IRD traded notional took place on TVs and 48.7% was executed by systematic internalizers. The remaining 17.3% of European IRD traded notional was reported as XOFF.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Quarter of 2023
Latest
New Selection Process for Standard Reference Obligations (SROs) FAQs
This Frequently Asked Questions (“FAQ”) document gives information about the new selection process for Standard Reference Obligations (SROs). Note that ISDA may update these FAQs on occasion. Please check back periodically for new versions.
Refreshing the FX Definitions
A lot has changed in the FX derivatives market since 1998, when the last set of standard definitions for FX transactions were published. Trading volumes have grown substantially, and average daily turnover has risen by six times. Market practices have...
ISDA & EMTA Publish New FX Definitions
ISDA and EMTA, Inc., the trade association for emerging markets, have jointly published a revised set of standard definitions for foreign exchange (FX) derivatives transactions, which update key market practices and consolidate various FX and FX-related product templates and provisions...
ISDA Position Paper on SFDR Review
On February 27, ISDA and the Association for Financial Markets in Europe (AFME) published a position paper on the European Commission’s (EC) proposed revisions to the Sustainable Finance Disclosure Regulation (SFDR 2.0). The paper welcomes the EC’s proposal as a...