On 22 April 2020, the International Swaps and Derivatives Association (ISDA) published its Interest Rates Benchmarks Review for the first quarter of 2020.

The ISDA Interest Rate Benchmarks Review analyses the trading volumes of interest rate derivatives (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 analyses IRD traded notional referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR.

Key highlights from the first quarter were:

• The increase in traded notional IRD referencing SOFR and the increase in traded notional SONIA–linked IRD
• The decrease for traded notional €STR-linked IRD, IRD referencing SARON and TONA-linked IRD
• $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.

For further information see here.