The Transition to Risk-free Rates (RFRs) Review analyzes the trading volumes of over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference the selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate, the Euro Short-Term Rate and the Australian Overnight Index Average.
Key highlights for the third quarter of 2020 include:
- The ISDA-Clarus RFR Adoption Indicator, which tracks how much global trading activity (as measured by DV01) is conducted in cleared OTC and exchange-traded IRD that reference the identified RFRs in six major currencies, was at 7.7% in the third quarter of 2020, compared to 4.5% the prior quarter.
- Global RFR-linked IRD traded notional accounted for 10.4% of total IRD traded notional in the third quarter of 2020, compared to 5.9% in the prior quarter.
- Based on US trading data, RFR transactions accounted for 8.5% of IRD traded notional in the third quarter of 2020, compared to 4.5% in the prior quarter.
- Based on US trading data, IRD traded notional referencing SOFR increased by 8.8% to $228.0 billion in the third quarter of 2020 from $209.6 billion in the prior quarter. IRD traded notional referencing SONIA increased by 56.1% and totaled $3.6 trillion in the third quarter of 2020, compared with $2.3 trillion in the second quarter of 2020.
Documents (1) for Transition to RFRs Review: Third Quarter of 2020 and Year-to-September 30, 2020
Latest
ISDA AGM Studio: Emmanuel Geinoz and Eleanor Kelly
Five jurisdictions went live with revised derivatives reporting rules in 2024, with more to follow in 2025 and beyond, putting reporting teams under extreme pressure to implement accurately and on time to avoid regulatory penalties. Emmanuel Geinoz, market infrastructure and...
ISDA AGM Studio: Tyler Wellensiek, Stephen Berger
The first phase of the Securities and Exchange Commission’s Treasury clearing mandate will come into effect in December 2026 – a requirement that will have a significant impact on both US and non-US market participants. Tyler Wellensiek, ISDA board member...
ISDA AGM Studio: Jacques Vigner, BNP Paribas
Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...
ISDA AGM Studio: Future Leaders in Derivatives
Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...