IRD Trading Activity Reported in EU, UK and US Markets: First Quarter of 2024

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 first quarter of 2024 include:

  • Total European IRD traded notional reported by APAs and TVs in the EU and UK rose by 5.1% to $55.5 trillion in the first quarter of 2024 from $52.8 trillion in the first quarter of 2023.
  • Euro-denominated IRD traded notional grew by 11.1% to $33.2 trillion from $29.9 trillion and accounted for 59.9% of total European IRD traded notional.
  • Sterling-denominated traded notional increased by 4.9% to $8.5 trillion from $8.1 trillion and comprised 15.4% of the European total.
  • Contracts denominated in US dollars fell by 21.8% to $7.9 trillion from $10.1 trillion, representing 14.2% of European IRD traded notional. Other currencies made up 10.5% of total European IRD traded notional.
  • Overnight index swaps traded notional rose by 11.3% to $37.2 trillion from $33.4 trillion, accounting for 67.0% of the total European total. Fixed-for-floating interest rate swaps traded notional dropped by 6.2% to $11.0 trillion from $11.7 trillion and comprised 19.7% of total European IRD traded notional. Forward rate agreement traded notional fell by 16.9% to $4.9 trillion from $5.9 trillion and represented 8.9% of the European total.
  • 32.0% of European IRD traded notional occurred on TVs and 38.4% was executed by systematic internalizers. The remaining 29.6% of IRD traded notional was reported as XOFF.

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