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 2024, include:
- European IRD traded notional reported by APAs and TVs in the EU and UK rose by 24.9% to $248.0 trillion in 2024 from $198.5 trillion in 2023.
- Euro-denominated IRD traded notional grew by 15.1% to $138.2 trillion from $120.1 trillion and comprised 55.7% of total European IRD traded notional.
- Contracts denominated in US dollars increased by 13.3% to $38.0 trillion from $33.5 trillion, accounting for 15.3% of European IRD traded notional.
- Sterling-denominated IRD traded notional climbed by 43.0% to $38.3 trillion from $26.8 trillion and represented 15.4% of the European total. Other currencies made up 13.5% of European IRD traded notional.
- 73.8% of European IRD traded notional had a tenor up to and including one year, 15.0% had a tenor between one and five years and 9.4% had a tenor over five years.
- 34.2% of European IRD traded notional occurred on TVs and 36.5% was executed by systematic internalizers. The remaining 29.3% 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: Full Year 2024 and the Fourth Quarter of 2024
Latest
Stress Scenarios for CCP IM Simulators
ISDA has published a paper that explains why stress scenarios that central counterparties (CCPs) use for default fund sizing cannot be used for forward-looking initial margin (IM) simulators. Typically, stress scenarios used by CCPs consist of a single step, transitioning...
Paper on EMIR 3 Active Account Representativeness
On September 4, ISDA, the European Fund and Asset Management Association (EFAMA) and FIA shared a paper with EU policymakers requesting clarification on the implementation of the active account requirement under the third European Market Infrastructure Regulation in relation to...
ISDA In Review – August 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in August 2025.
Episode 51: Trading Places
Markets have been volatile so far this year, but what has this meant for market liquidity? The Swap talks to Chris Edmonds from Intercontinental Exchange on trading activity and the market, economic and geopolitical outlook. Please view this page via...