Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Half of 2023 and Second Quarter of 2023

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 half of 2023 include:

  • Total European IRD trading activity reported by APAs and TVs in the EU and UK rose by 7.8% to $101.6 trillion in the first half of 2023 from $94.2 trillion in the first half of 2022.
  • Euro-denominated IRD traded notional increased by 25.0% to $57.7 trillion in the first half of 2023 compared to $46.1 trillion in the first half of 2022 and accounted for 56.8% of total European IRD traded notional.
  • Sterling-denominated IRD traded notional grew by 9.8% to $15.8 trillion from $14.4 trillion over the same period and comprised 15.6% of the European total.
  • Contracts denominated in US dollars decreased by 15.9% to $19.1 trillion from $22.7 trillion, equating to 18.8% of European IRD traded notional.
  • Overnight index swaps traded notional grew by 44.1% to $62.6 trillion from $43.4 trillion and accounted for 61.6% of the European total. Fixed-for-floating interest rate swaps traded notional dropped by 22.9%, while forward rate agreements decreased by 29.1%.
  • 34.1% of European IRD traded notional took place on TVs and 45.0% was executed by systematic internalizers. The remaining 20.8% of IRD traded notional was reported as XOFF.

Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Half of 2023 and Second Quarter of 2023