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
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