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 Board Appoints New Chair
ISDA has announced that its Board of Directors has elected Amy Hong as its new Chair. Ms. Hong is Head of Strategy, Investments and Partnerships in the Global Banking & Markets division at Goldman Sachs, responsible for leading strategic initiatives...
Response on Scope of BMR
On July 28, ISDA and the Global Foreign Exchange Division of the Global Financial Markets Association responded to the European Commission’s (EC) consultation on the need to exempt spot foreign exchange (FX) benchmarks under Article 18a of the EU Benchmarks...
Strengthening DC Governance
The Credit Derivatives Determinations Committees (DCs) play a vital role. Without a single, industry-wide determination on whether a credit event has occurred, it simply wouldn’t be possible to clear credit default swaps (CDS), making the market less safe and less...
ISDA CSA Significant Errors Notification SOP
The ISDA CSA Notification of Significant Error or Omissions Suggested Operational Practices (SOP) considers current institutional processes and outlines suggested operational practices related to the new requirement under §26.3(2) of the Canadian Trade Repositories and Derivatives Data Reporting rules rewrite...