In the first quarter of 2020, traded notional of interest rate derivatives (IRD) referencing alternative risk-free rates (RFRs) increased to $8.4 trillion and accounted for 9.6% of total IRD traded notional. In comparison, RFR-linked IRD traded notional equaled $2.7 trillion in the fourth quarter of 2019, comprising 5.4% of total IRD traded notional.
The ISDA Interest Rate Benchmarks Review analyzes the trading volumes of IRD transactions in the US referencing the Secured Overnight Financing Rate (SOFR) and other selected alternative RFRs, including the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight (SARON), the Tokyo Overnight Average Rate (TONA) and the Euro Short-Term Rate (€STR). In addition, the report analyzes IRD traded notional referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR.
Key highlights for the first quarter of 2020 include:
- Traded notional of IRD referencing SOFR increased by 68.9% compared with the fourth quarter of 2019 and totaled $280.4 billion, including $135.0 billion of basis swaps.
- SONIA-linked IRD traded notional rose by 237.4% to $8.0 trillion, including $76.0 billion of basis swaps.
- Traded notional of IRD referencing SARON decreased by 40.5% to $7.5 billion.
- TONA-linked IRD traded notional decreased by 5.2% to $111.2 billion.
- €STR-linked IRD traded notional decreased by 7.1% to $4.4 billion.
- Traded notional of IRD referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR, totaled $47.5 trillion and represented 54.3% of total IRD traded notional.
- $23.7 trillion of IRD traded notional referencing LIBOR had a 2020 maturity, $8.5 trillion had a 2021 maturity and $15.3 trillion had a maturity after 2021, including $9.9 trillion of traded notional based on US dollar LIBOR.
This report uses data from the Depository Trust & Clearing Corporation swap data repository. It therefore only covers trades that are required to be disclosed under US regulations.
Documents (1) for Interest Rate Benchmarks Review: First Quarter of 2020
Latest
Key Trends in OTC Derivatives Market H2 2025
The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows an increase in notional outstanding of OTC derivatives during the second half of 2025 compared to the same period in 2024. Notional outstanding rose across all...
ISDA-SIFMA letter to SEC on Swap Dealer Thresholds
ISDA and SIFMA have submitted a comment letter to the SEC in response to the staff report on the definitions of “security-based swap dealer” and “major security-based swap participant.” The associations recommend maintaining the current de minimis thresholds for both...
ISDA responds to RBI consultation on SA-CCR
On July 1, ISDA responded to the Reserve Bank of India's (RBI) consultation on draft amendment directions on the standardized approach for counterparty credit risk (SA-CCR). ISDA broadly welcomes the RBI's move to SA-CCR and updated capital treatment for exposures...
Data Subject Access Request Form
Pursuant to its mission to promote safe and efficient markets within the over-the-counter (OTC) derivatives industry, The International Swaps and Derivatives Association, Inc. (ISDA) processes personal data of its employees, members and non-members (for example individuals attending ISDA conferences or...