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
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...
ISDA/IIF Response to EC Market Risk Consultation
On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...
ISDA Submits Letter on Environmental Credits
On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...