Interest Rate Benchmarks Review: First Quarter of 2019

The ISDA Interest Rate Benchmarks Review analyzes trading volumes of over-the-counter (OTC) interest rate derivatives (IRD) transactions in the US referencing 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 (€STR) 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 dollars, 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: First Quarter of 2019

ISDA response to ESMA MiFIR Review Consultation

On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...