1. Research
  2. Research Notes
  3. Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019

Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019

Research
Research Notes October 28, 2019
< 1  min.read

The ISDA Interest Rate Benchmarks Review analyzes trading volumes of 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 there is trading activity. In addition, the report analyzes IRD traded notional referencing the London Interbank Offered Rate (LIBOR) denominated in US dollars, sterling, Swiss franc, yen, euro, as well as EURIBOR and TIBOR.

This report uses data from the Depository Trust & Clearing Corporation (DTCC) swap data repository (SDR). It therefore only covers trades that are required to be disclosed under US regulations.

Tags:

, ,

Documents (1) for Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019

Latest

Credit Derivatives Trading Activity Q3 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...

Striking a Balance on EU Market Risk Capital

With US prudential regulators poised to publish a revised Basel III endgame proposal this year, and EU and UK regulators moving to finalize their own rules, ISDA is maintaining a laser focus on achieving a risk-appropriate capital framework that is...

Episode 53: The IOSCO Agenda

Global policymakers are focused on a wide-ranging set of issues, including NBFI and the rapid development of advanced technologies. IOSCO secretary general Rodrigo Buenaventura unpacks the regulatory agenda. Please view this page via Chrome to access the recording.