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
A Path to Greater CFTC-SEC Alignment
Earlier this week, the Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) held a roundtable on regulatory harmonization – an initiative we wholeheartedly support. The US regulatory framework has evolved over time to facilitate financial markets...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Working Towards Tokenized Collateral
One of the lessons learned from recent market shocks – including the 2020 dash for cash and the UK gilt market crisis in 2022 – is that when volatility strikes and market participants must suddenly generate large amounts of cash...
IQ Interview Yazeed Alnafjan
ISDA published new legal opinions in June that recognise the enforceability of close-out netting in Saudi Arabia under regulations published by the Saudi Central Bank earlier this year. In this interview with IQ, Yazeed Alnafjan, the central bank’s deputy governor...