The ISDA Interest Rate Benchmarks Review analyzes trading volumes of interest rate derivatives (IRD) transactions in the US referencing the Secured Overnight Financing Rate and other selected alternative risk-free rates, including the Sterling Overnight Index Average, the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate and the Euro Short-Term Rate. In addition, the report analyzes IRD traded notional referencing the London Interbank Offered Rate denominated in US dollars, sterling, Swiss franc, yen, euro, as well as EURIBOR and TIBOR.
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.
- Interest Rate Benchmarks Review Full Year 2019 and Q4 2019(pdf)will open in a new tab or window
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ISDA – International Swaps and Derivatives Association Inc. published this content on 21 January 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 21 January 2020 16:28:00 UTC