In the first quarter of 2020, traded notional of interest rate derivatives (IRD) referencing alternative risk-free rates (RFRs) increased to $8.4 trillion and accounted for 9.6% of total IRD traded notional. In comparison, RFR-linked IRD traded notional equaled $2.7 trillion in the fourth quarter of 2019, comprising 5.4% of total IRD traded notional.
The ISDA Interest Rate Benchmarks Review analyzes the trading volumes of IRD transactions in the US referencing the Secured Overnight Financing Rate (SOFR) and other selected alternative RFRs, including the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight (SARON), the Tokyo Overnight Average Rate (TONA) and the Euro Short-Term Rate (€STR). In addition, the report analyzes IRD traded notional referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR.
Key highlights for the first quarter of 2020 include:
- Traded notional of IRD referencing SOFR increased by 68.9% compared with the fourth quarter of 2019 and totaled $280.4 billion, including $135.0 billion of basis swaps.
- SONIA-linked IRD traded notional rose by 237.4% to $8.0 trillion, including $76.0 billion of basis swaps.
- Traded notional of IRD referencing SARON decreased by 40.5% to $7.5 billion.
- TONA-linked IRD traded notional decreased by 5.2% to $111.2 billion.
- €STR-linked IRD traded notional decreased by 7.1% to $4.4 billion.
- Traded notional of IRD referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR, totaled $47.5 trillion and represented 54.3% of total IRD traded notional.
- $23.7 trillion of IRD traded notional referencing LIBOR had a 2020 maturity, $8.5 trillion had a 2021 maturity and $15.3 trillion had a maturity after 2021, including $9.9 trillion of traded notional based on US dollar LIBOR.
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: First Quarter of 2020
Latest
Protected: 2025 Year-End Bonus Election Form
This content is password protected. To view it please enter your password below: Password:
Key IRD Trends from BIS 2025 Survey
This paper highlights changes in over-the-counter (OTC) interest rate derivatives (IRD) markets between April 2022 and April 2025, based on data from the Bank for International Settlements (BIS) Triennial Central Bank Survey. The survey provides a comprehensive view of global...
RMB IRD Growth in Mainland China & Hong Kong
This report analyzes interest rate derivatives (IRD) activity in mainland China and Hong Kong, with a particular focus on renminbi (RMB)-denominated IRD. It examines market growth, structure and integration across onshore and offshore centers, and places these developments within the...
ISDA and SIFMA Comment on CFTC Proposed Revisions to Business Conduct and Swap Documentation Requirements
On October 24, 2025 ISDA and SIFMA submitted comments to the CFTC on its proposed Revisions to Business Conduct and Swap Documentation Requirements for Swap Dealers and Major Swap Participants. The proposal covers amendments to requirements related to external business...