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 year-to-September 30, 2024 include:
- European IRD traded notional reported by APAs and TVs in the EU and UK increased by 12.1% to $172.7 trillion in the year to September 30, 2024 from $154.1 trillion in the nine months to September 30, 2023.
- Euro-denominated IRD traded notional rose by 3.4% to $95.2 trillion from $92.1 trillion and accounted for 55.1% of total European IRD traded notional.
- Contracts denominated in US dollars fell by 3.1% to $26.1 trillion from $27.0 trillion, representing 15.1% of European IRD traded notional.
- Sterling-denominated IRD traded notional grew by 27.3% to $28.0 trillion from $22.0 trillion and comprised 16.2% of the European total. Other currencies made up 13.6% of total European IRD traded notional.
- Overnight index swaps traded notional increased by 28.9% to $118.8 trillion from $92.2 trillion, accounting for 68.7% of the European total. Fixed-for-floating interest rate swaps traded notional grew by 4.3% to $34.1 trillion from $32.7 trillion and made up 19.8% of total European IRD traded notional. Forward rate agreement traded notional dropped by 39.3% to $13.5 trillion from $22.3 trillion and represented 7.8% of the European total.
- 35.3% of European IRD traded notional occurred on TVs and 35.7% was executed by systematic internalizers. The remaining 29.0% of IRD traded notional was reported as XOFF.
Click on the attached PDF to read the full report.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2024 and Year-to-September 30, 2024
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