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 half of 2024 include:
- European IRD traded notional reported by APAs and TVs in the EU and UK increased by 9.1% to $109.1 trillion in the first half of 2024 from $100.0 trillion in the first half of 2023.
- Euro-denominated IRD traded notional rose by 6.1% to $60.8 trillion from $57.3 trillion and accounted for 55.7% of total European IRD traded notional.
- Contracts denominated in US dollars fell by 16.4% to $15.9 trillion from $19.1 trillion, representing 14.6% of European IRD traded notional.
- Sterling-denominated IRD traded notional grew by 21.5% to $18.3 trillion from $15.1 trillion and comprised 16.8% of the European total. Other currencies made up 12.9% of total European IRD traded notional.
- Overnight index swaps traded notional climbed by 18.9% to $73.4 trillion from $61.7 trillion, accounting for 67.3% of the European total. Fixed-for-floating interest rate swaps traded notional grew by 2.1% to $22.7 trillion from $22.2 trillion and made up 20.8% of total European IRD traded notional. Forward rate agreement traded notional fell by 29.6% to $8.7 trillion from $12.4 trillion and represented 8.0% of the European total.
- 36.5% of European IRD traded notional occurred on TVs and 35.5% was executed by systematic internalizers. The remaining 28.0% of IRD traded notional was reported as XOFF.
Documents (1) for Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Half of 2024 and the Second Quarter of 2024
Latest
Equity Definitions VE InfoHub
This page will be updated on a regular basis as relevant information becomes available and will serve as a repository for information from ISDA relating to the initiative to update the 2002 ISDA Equity Derivatives Definitions (the “2002 Equity Definitions”)....
ISDA responds to FSB on leverage in NBFI
On February 28, ISDA responded to the Financial Stability Board’s (FSB) consultation on leverage in the non-bank financial intermediation (NBFI) sector. In the response, ISDA makes the following points: Due to the diverse nature of the NBFI sector (in terms...
ISDA responds to BoE rules for FMIs
On February 19, ISDA submitted a response to a consultation from the Bank of England (BoE) on a proposal to introduce a set of rules for UK financial market infrastructures (FMIs), including central counterparties (CCPs). In the response, ISDA expresses...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.