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
Latest
ISDA Letter to FASB on Agenda Consultation
On June 30, ISDA submitted a comment letter to the Financial Accounting Standards Board (FASB) in response to the proposal File Reference No. 2025-ITC100, Agenda Consultation. In the letter, ISDA believes the highest priority should be given to expanding the hedge...
Joint Paper on UK EMIR Reform
On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...
Response to FCA on UK EMIR Reporting
On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...
CDS Trading Activity in EU, UK and US Markets
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...