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 2023 include:
- Total European IRD traded notional reported by APAs and TVs in the EU and UK rose by 16.4% to $197.0 trillion in 2023 from $169.3 trillion in 2022.
- Euro-denominated IRD traded notional grew by 35.1% to $119.4 trillion from $88.4 trillion and accounted for 60.6% of total European IRD traded notional.
- Sterling-denominated traded notional dropped by 5.5% to $26.6 trillion from $28.2 trillion and comprised 13.5% of the European total.
- Contracts denominated in US dollars fell by 3.9% to $32.9 trillion in 2023 from $34.3 trillion in 2022, representing 16.7% of European IRD traded notional. Other currencies made up 9.1% of total European IRD traded notional.
- Overnight index swaps traded notional rose by 37.9% to $117.9 trillion in 2023 from $85.5 trillion in 2022, accounting for 59.9% of the European total. Fixed-for-floating interest rate swaps traded notional dropped by 13.0% to $44.1 trillion from $50.6 trillion and comprised 22.4% of total European IRD traded notional. Forward rate agreement traded notional grew by 0.5% to $26.5 trillion from $26.4 trillion and represented 13.4% of the European total.
- 33.8% of European IRD traded notional occurred on TVs and 43.2% was executed by systematic internalizers. The remaining 23.0% of IRD traded notional was reported as XOFF.
Documents (1) for IRD Trading Activity Reported in EU, UK and US Markets: Full Year 2023 and Fourth Quarter of 2023
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