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