ISDA's Full Year 2019 Interest Rate Benchmarks Review

Key SOFR-related highlights from ISDA's Interest Rate Benchmark Review for Q4 and Full Year 2019 include:

  • Over 392 billion in traded notional for SOFR swaps
  • 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 0.3 trillion at the beginning of the year

Click here for ISDA's full report.

About Principia Partners

Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.