The ISDA Interest Rate Benchmarks Review analyzes trading volumes of interest rate derivatives (IRD) transactions in the US referencing the Secured Overnight Financing Rate and other selected alternative risk-free rates, including the Sterling Overnight Index Average, the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate and the Euro Short-Term Rate. In addition, the report analyzes IRD traded notional referencing the London Interbank Offered Rate 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 swap data repository. It therefore only covers trades that are required to be disclosed under US regulations.
Documents (1) for Interest Rate Benchmarks Review: Full Year 2019 and the Fourth Quarter of 2019
Latest
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