Interest Rate Benchmarks Review: Full Year 2018 and the Fourth Quarter of 2018

This report provides an analysis of trading volumes of interest rate derivatives (IRD) transactions in the US referenced to the Secured Overnight Financing Rate (SOFR) and other selected alternative risk-free rates (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 the London Interbank Offered Rate (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: Full Year 2018 and the Fourth Quarter of 2018

ISDA AGM Studio: Jacques Vigner, BNP Paribas

Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...

ISDA AGM Studio: Future Leaders in Derivatives

Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...