Interest Rate Derivative

Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019

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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) and the Tokyo Overnight Average Rate (TONA). ISDA expects to add the Euro Short-Term Rate (€STR) to its analysis once there is trading activity.

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OTC Rates Market Triples Since 2007

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ISDA made a summary of a recent BIS paper on the OTC market. One highlight which is astounding is that the average daily turnover of OTC rates business has risen from$1.7trn per day in 2007 (pre-crisis) to $6.5trn per day.  This suggests that the market reforms for capital, clearing and margining must be making OTC products ever more popular.


This paper highlights changes in the size and structure of global over-the-counter interest rate derivatives (IRD) markets from 2007 to 2019, using data from the Bank for International Settlements (BIS) Triennial Central Bank Surveys.

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SwapsInfo Third Quarter of 2019 and Year-to-September 30, 2019 Review: Summary

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The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared, non-cleared, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency.

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Interest Rate Benchmarks Review: Second Quarter of 2019 and First Half of 2019

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The ISDA Interest Rate Benchmarks Review analyzes the 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) and the Tokyo Overnight Average Rate (TONA). ISDA expects to add the Euro Short-Term Rate (€STR) to its analysis once it is published and traded.

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SwapsInfo First Half of 2019 and Second Quarter of 2019 Review: Summary

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The ISDA SwapsInfo Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared, non-cleared, swap execution facility (SEF) and off-SEF traded notional and trade count, as well as product taxonomy and currency information. This summary provides a high-level overview of key trends in the first half of 2019 and second quarter of 2019. The full report will be published by the end of July 2019.

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SwapsInfo First Quarter of 2019 Review

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The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency.

Key highlights for the first quarter of 2019 include:

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Interest Rate Benchmarks Review: First Quarter of 2019

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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) and the Tokyo Overnight Average Rate (TONA). ISDA expects to add the Euro Short-Term Rate (€STR) to its analysis once it is published and traded.

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