In the first half of 2020, traded notional of interest rate derivatives (IRD) referencing alternative risk-free rates (RFRs) increased to $10.9 trillion and accounted for 7.6% of total IRD traded notional. In comparison, RFR-linked IRD traded notional equaled $5.1 trillion in the second half of 2019, comprising 4.3% of total IRD traded notional.
Key highlights for the first half of 2020 include:
- Traded notional of IRD referencing SOFR increased by 79.4% compared with the second half of 2019 and totaled $488.9 billion.
- SONIA-linked IRD traded notional increased by 120.1% to $10.2 trillion.
- SARON-linked IRD traded notional decreased by 16.0% to $20.0 billion.
- TONA-linked IRD traded notional declined by 6.0% to $168.7 billion.
- €STR-linked IRD traded notional was $13.3 billion.
- Traded notional of IRD referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR, increased by 22.0% to $85.7 trillion and represented 59.6% of total IRD traded notional.
- $37.8 trillion of IRD traded notional referencing LIBOR had a 2020 maturity, $21.2 trillion had a 2021 maturity and $26.7 trillion had a maturity after 2021.
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.
Click on the attached PDF to read the full report.
Documents (1) for Interest Rate Benchmarks Review: First Half of 2020 and Second Quarter of 2020
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