Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2023 and Year-to-September 30, 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 third quarter of 2023 include:

  • Total European IRD traded notional reported by APAs and TVs in the EU and UK rose by 35.9% to $54.6 trillion in the third quarter of 2023 from $40.2 trillion in the third quarter of 2022.
  • Euro-denominated IRD traded notional grew by 55.6% to $34.8 trillion in the third quarter of 2023 compared to $22.4 trillion in the third quarter of 2022 and accounted for 63.8% of total European IRD traded notional.
  • Sterling-denominated traded notional increased by 6.6% to $7.6 trillion from $7.1 trillion over the same period and comprised 13.8% of the European total.
  • Contracts denominated in US dollars climbed by 12.6% to $7.4 trillion from $6.6 trillion, equating to 13.6% of European IRD traded notional. Other currencies made up 8.8% of total European IRD traded notional.
  • Overnight index swaps traded notional rose by 39.9% to $31.1 trillion from $22.2 trillion and accounted for 56.9% of the European total. Fixed-for-floating interest rate swaps traded notional fell by 7.2%, while forward rate agreements traded notional increased to $10.0 trillion from $4.8 trillion.
  • 35.4% of European IRD traded notional took place on TVs and 40.0% was executed by systematic internalizers. The remaining 24.6% 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 2023 and Year-to-September 30, 2023