1. Research
  2. Research Notes
  3. Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021

Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021

Research
Research Notes November 1, 2021
< 1  min.read

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 selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average, 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 2021 include:

  • The average monthly 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, reached 17.4% compared to 11.0% in the prior quarter.
  • Global RFR-linked IRD traded notional accounted for 13.9% of total IRD traded notional versus 11.4% in the second quarter of 2021.
  • Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased by 97.0% to $7.5 trillion in the third quarter of 2021 compared to $3.8 trillion in the second quarter of 2021.
  • Based on US trading data, IRD traded notional referencing SOFR increased by 127.4% to $2.1 trillion in the third quarter of 2021 from $932.9 billion in the second quarter of 2021. The increase was primarily driven by the SOFR First initiative that started for linear derivatives on July 26, 2021.

Click on the attached PDF to read the full report.

Tags:

, ,

Documents (1) for Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021

Latest

Paper on Proposal 6 on Margin Transparency

On November 16, ISDA published a document that looked at proposal 6 in the final Basel Committee on Banking Supervision (BCBS), Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) report on margin transparency. Proposal...

Tender Issued for DC Administrator Role

ISDA and the Credit Derivatives Governance Committee have issued an invitation to tender for an independent regulated entity to serve as the administrator for the Credit Derivatives Determinations Committees (DCs), which includes assuming the role of DC secretary. The DC...

ISDA SIMM: The Standard for IM Calculations

The ISDA Standard Initial Margin Model (ISDA SIMM) plays an important role in ensuring margin calculations are consistent, transparent and aligned with global best practices and regulatory requirements. Since its launch in 2016, the model has been rigorously tested, regularly...