Title Image

ISDA's Interest Rate Benchmarks Review  
Q4 and Full Year 2019

ISDA recently published its review of Interest Rate Benchmarks for Q4 and the full year 2019. Key SOFR-related highlights from ISDA’s Interest Rate Benchmarks Review for 2019 include over 392 billion in traded notional for SOFR swaps and over 193 billion for SOFR basis swaps. SOFR futures saw a jump in open interest at the end of the year to 2.1 trillion from just .3 trillion at the beginning of the year.

That said, SOFR swaps accounted for 4.5% of all IRD traded notional referencing Risk Free Rates (RFRs) while IRD referencing IBORs represented about 61.6% of total IRD traded notional.

About Principia Partners
Principia Partners LLC (Principia) provides solutions for derivative and structured finance operations. Global financial institutions and independent asset managers have used the award-winning Principia Structured Finance Platform since 1995 to unify investment analysis, portfolio management, risk surveillance, accounting and operational control across the breadth of structured credit assets, fixed income investments and complex derivatives. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.

Principia is based in New York, with an office in London and a technology center in King of Prussia, Pennsylvania.