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 half 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 40.7% compared to 22.8% in the second half of 2021.
- Global RFR-linked IRD traded notional accounted for 32.4% of total IRD traded notional in the first half of 2022 versus 16.4% in the second half of 2021.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs grew to $56.9 trillion in the first half of 2022 compared to $24.9 trillion in the second half of 2021. RFR transactions accounted for 36.0% of total OTC IRD traded notional, up from 22.5% in the second half of 2021.
- Based on US trading data, IRD traded notional referencing SOFR increased to $25.8 trillion in the first half of 2022 versus $7.7 trillion in the second half of 2021. SOFR transactions accounted for 33.2% of US dollar-denominated OTC IRD traded notional compared to 13.1% in the second half of 2021.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: First Half of 2022 and the Second Quarter of 2022
Latest
ISDA Paper on FRTB Rules in Brazil
On March 24, ISDA submitted a paper to Banco Central do Brazil’s (BCB) on its implementation of the revised market risk framework under the Fundamental Review of the Trading Book (FRTB), which represents an important step toward strengthening prudential standards...
IQ Interview with Mark Uyeda
Mandatory clearing of US Treasury securities is due to begin at the end of this year under rules finalized by the Securities and Exchange Commission (SEC) in 2023. SEC commissioner Mark Uyeda talks to IQ about the benefits of clearing...
Response to FCA on CFI Codes for Transparency
On March 19, ISDA responded to Chapter 3 of the UK Financial Conduct Authority’s (FCA) Quarterly Consultation CP26/8 on transparency requirements for financial instruments under Market Conduct Sourcebook (MAR) 11. Sections 3.11-3.13 of the consultation paper explain a discrepancy between...
Why We Need Safe and Efficient SFT Markets
Securities financing transactions (SFTs) play a vital role in fostering liquidity, mobilizing collateral and supporting the smooth functioning of derivatives markets. But during periods of stress, secured funding markets often come under pressure just when they’re needed most, with reduced...