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 first quarter of 2022 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, increased to a monthly average of 36.6% in the first quarter of 2022 compared to 27.1% in the prior quarter.
Global RFR-linked IRD traded notional accounted for 27.6% of total IRD traded notional in the first quarter of 2022 versus 18.2% in the fourth quarter of 2021.
Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased by 54.9% to $27.1 trillion in the first quarter of 2022 compared to $17.5 trillion in the previous quarter.
Based on US trading data, IRD traded notional referencing SOFR increased to $12.8 trillion in the first quarter of 2022 from $5.6 trillion in the fourth quarter of 2021.