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
ISDA Response to EC on Environmental Legislation
On September 10, ISDA, the Association for Financial Markets in Europe (AFME) and the European Fund and Asset Management Association (EFAMA) submitted a joint response to the European Commission’s (EC) call for evidence on reducing the administrative burden in environmental...
Credit Derivatives Trading Activity Q2 2025
This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...
ISDA Trading and Treasury Forum: CEO Remarks
ISDA Derivatives Trading and Treasury Forum London, September 16, 2025 Opening Remarks Scott O’Malia ISDA Chief Executive Officer Good morning, and welcome to the ISDA Derivatives Trading and Treasury Forum. Thank you to CME Group for partnering with us...
Recognition of Cross-product Netting is Critical
US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...