This research note analyzes changes in interest rate derivatives (IRD) trading activity in the US, EU and UK from 2021 to 2024. It examines how central bank interest rate policies influenced IRD trading volumes and how the composition of IRD products has evolved due to the transition to alternative reference rates.
Key highlights include:
- IRD traded notional in the US rose by 59.3% to $366.3 trillion in 2024 from $230.2 trillion in 2021, representing a compound annual growth rate (CAGR) of 16.8%.
- In the EU, IRD traded notional increased by 66.4% to $76.1 trillion in 2024 from $45.7 trillion in 2022, corresponding to a CAGR of 29.0%.
- The UK also saw strong growth, with IRD traded notional rising by 41.7% to $171.9 trillion in 2024 from $121.3 trillion in 2022, reflecting a CAGR of 19.0%.
- The product composition of IRD trading shifted notably across regions, with overnight index swaps (OIS) transactions making up a growing share of activity. In the US, this was driven by OIS referenced to SOFR and the effective federal funds rate, with SOFR-linked OIS traded notional rising more than tenfold between 2021 and 2024.
- In the EU, €STR-linked OIS accounted for nearly 86% of total OIS traded notional in 2024. The UK market featured a broader mix of reference rates, with €STR surpassing SONIA as the most traded OIS benchmark in 2024, followed by significant volumes linked to SOFR and the EFFR.
Click on the attached PDF to read the full report.
Documents (1) for Interest Rate Derivatives Trading in the US, EU and UK: Growth, Structural Shifts and the Rise of OIS
Latest
Paper on Liquidity Assessment for Single-name CDS
On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...
Response to EC on Delegated Regulation
On September 4, ISDA responded to the European Commission’s (EC) consultation on amendments to delegated regulation (EU) 2017.567. The key area of interest for ISDA was the proposed insertion of a new article 16a that establishes what constitutes a post-trade...
Raising Clients’ Awareness on Portability
Clients accessing a central counterparty (CCP) via a client clearing service provider (CCSP) for over-the-counter (OTC) and exchange-traded derivatives should consider what may happen to their positions and collateral in a scenario in which the CCSP defaults. While regulatory regimes...
Response to FCA on Ancillary Activities Test
On August 28, ISDA and FIA submitted a joint response to the Financial Conduct Authority’s (FCA) consultation paper CP25/19 on the ancillary activities test to determine if commercial users or producers of commodities that trade in commodity derivatives, emission allowances...