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 third quarter of 2022 include:
- Total European IRD trading activity reported by APAs and TVs in the EU and UK was $43.8 trillion, up by 27.3% from $34.4 trillion in the third quarter of 2021.
- Total IRD traded notional reported by APAs and TVs in the UK accounted for 71.4% of total European IRD traded notional, while EU IRD traded notional accounted for 28.6%.
- Euro-denominated IRD traded notional accounted for 53.3% of total European IRD traded notional. Sterling-denominated transactions comprised 20.4% of traded notional, while contracts denominated in US dollars contributed 14.9%.
- Overnight index swaps accounted for 55.3% of total European IRD traded notional, while fixed-for-floating interest rate swaps and forward rate agreements totaled 28.3% and 11.9%, respectively.
- 44.8% of total European IRD traded notional took place on TVs and 42.9% was executed by systematic internalizers. The remaining 12.4% of IRD traded notional was reported as XOFF.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2022
Latest
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...
ISDA/IIF Response to EC Market Risk Consultation
On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...
ISDA Submits Letter on Environmental Credits
On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...