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.

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