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
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Guidance for EU IM Model Application for ISDA SIMM®
ISDA SIMM v2.7+2412 goes into effect on July 12, 2025, triggering the initial application requirement for its continued use by all financial and non-financial EU counterparties exchanging IM calculated using ISDA SIMM®. ISDA is providing guidance to ISDA SIMM users to promote...
Get Ready to Submit EU ISDA SIMM Applications
Last week marked an important milestone for the ISDA Standard Initial Margin Model (ISDA SIMM), as we published the first recalibration under the new semiannual cycle. Agreed in coordination with global regulators, this shift will ensure the ISDA SIMM continues...
SwapsInfo First Quarter of 2025
Interest rate derivatives (IRD) trading activity increased in the first quarter of 2025, driven by elevated interest rate volatility, shifting central bank policy expectations and evolving inflation and growth outlooks. Trading in index credit derivatives also rose, as market participants...