The ISDA Interest Rate Benchmarks Review analyzes trading volumes of interest rate derivatives (IRD) transactions in the US referencing the Secured Overnight Financing Rate (SOFR) and other selected alternative risk-free rates (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 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.
Key highlights for 2019 include:
Traded notional referencing alternative RFRs increased to $8.7 trillion in 2019 compared to $8.1 trillion the year before. However, RFR transactions continued to comprise a small percentage of total IRD trading activity, accounting for 3.4% of IRD traded notional in both years.
SOFR traded notional totaled $392.7 billion, including $193.8 billion of basis swaps.
SONIA traded notional equaled $8.0 trillion, including $143.9 billion of basis swaps.
SARON traded notional was $25.6 billion.
TONA traded notional equaled $250.8 billion, including $1.0 billion of basis swaps.
€STR traded notional was $4.6 billion. The European Central Bank started publishing €STR on October 2, 2019.
IRD traded notional referencing IBORs totaled $157.3 trillion and represented 61.6% of total IRD traded notional.
Trading volume in SOFR futures totaled $30.8 trillion and open interest jumped to $2.1 trillion at the end of December 2019 from $0.3 trillion at the end of January 2019.
Trading volume in SONIA futures totaled $8.7 trillion with open interest increasing to $211.4 billion at the end of the year from $121.1 billion at the end of January 2019.
https://www.isda.org/a/W5LTE/Interest-Rate-Benchmarks-Review-Full-Year-2019-and-Q4-2019.pdf