The 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 2024 include:

• European IRD traded notional reported by APAs and TVs in the EU and UK increased by 9.1% to $109.1 trillion in the first half of 2024 from $100.0 trillion in the first half of 2023.
• Euro-denominated IRD traded notional rose by 6.1% to $60.8 trillion from $57.3 trillion and accounted for 55.7% of total European IRD traded notional.
• Contracts denominated in US dollars fell by 16.4% to $15.9 trillion from $19.1 trillion, representing 14.6% of European IRD traded notional.
• Sterling-denominated IRD traded notional grew by 21.5% to $18.3 trillion from $15.1 trillion and comprised 16.8% of the European total. Other currencies made up 12.9% of total European IRD traded notional.
• Overnight index swaps traded notional climbed by 18.9% to $73.4 trillion from $61.7 trillion, accounting for 67.3% of the European total. Fixed-for-floating interest rate swaps traded notional grew by 2.1% to $22.7 trillion from $22.2 trillion and made up 20.8% of total European IRD traded notional. Forward rate agreement traded notional fell by 29.6% to $8.7 trillion from $12.4 trillion and represented 8.0% of the European total.
• 36.5% of European IRD traded notional occurred on TVs and 35.5% was executed by systematic internalizers. The remaining 28.0% of IRD traded notional was reported as XOFF.