As the financial industry is preparing to transition from LIBOR and other interbank offered rates (IBORs) to alternative risk-free rates (RFRs), ISDA is launching a quarterly review of trading volumes of interest rate derivatives (IRD) referencing alternative RFRs and major IBORs.
This report provides an analysis of the trading volumes of IRD transactions referencing the Secured Overnight Financing Rate (SOFR), as well as other selected alternative RFRs, including the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight (SARON) and the Tokyo Overnight Average Rate (TONA). ISDA expects to add the Euro Short-Term Rate (ESTER) to its analysis once it is published and traded. In addition, the report analyzes IRD traded notional referencing LIBOR denominated in US dollar, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR.
This report uses data from the Depository Trust & Clearing Corporation (DTCC) and Bloomberg swap data repositories (SDRs). It therefore only covers trades that are required to be disclosed under US regulations.
Documents (1) for Interest Rate Benchmarks Review: Q3 2018 and Nine Months Ended Sep 30, 2018
Latest
Why We Need Safe and Efficient SFT Markets
Securities financing transactions (SFTs) play a vital role in fostering liquidity, mobilizing collateral and supporting the smooth functioning of derivatives markets. But during periods of stress, secured funding markets often come under pressure just when they’re needed most, with reduced...
Response to BoE on Clearing Exemption for PTRR
On March 11, ISDA submitted a response to the Bank of England’s consultation on a proposed approach to exempting post-trade risk reduction (PTRR) transactions from the derivatives clearing obligation under Article 4 of the European Market Infrastructure Regulation (EMIR). ISDA...
IQ Interview with David Bailey
The Bank of England’s Prudential Regulation Authority recently finalized its Basel 3.1 framework for implementation at the start of 2027. David Bailey, executive director for prudential policy, talks to IQ about the importance of global consistency and the need to...
LSEG's TradeAgent Integrates ISDA DRR
ISDA has announced that LSEG has integrated ISDA’s Digital Regulatory Reporting (DRR) solution into its Post Trade Solutions business, TradeAgent, representing a significant milestone in the industry deployment of the ISDA DRR. The ISDA DRR converts an industry-agreed interpretation of...