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Interest Rate Benchmarks Review: First Half of 2020 and Second Quarter of 2020

Research
Research Notes July 21, 2020
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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.

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