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 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 49.7% in the third quarter of 2022 compared to 45.5% in the second quarter of 2022.
- Global RFR-linked IRD traded notional accounted for 42.9% of total IRD traded notional in the third quarter of 2022 versus 38.3% in the prior quarter.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs fell by 0.8% to $29.6 trillion in the third quarter of 2022 compared to $29.8 trillion in the second quarter of 2022. RFR transactions accounted for 42.7% of total OTC IRD traded notional, up from 41.8% in the second quarter of 2022.
- Based on US trading data, IRD traded notional referencing SOFR increased to $14.4 trillion in the third quarter of 2022 versus $13.0 trillion in the prior quarter. SOFR transactions accounted for 44.8% of US dollar-denominated OTC IRD traded notional compared to 41.4% in the second quarter of 2022.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: Third Quarter of 2022 and Year-to-September 30, 2022
Latest
Recognition of Cross-product Netting is Critical
US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...
ISDA, GFXD Response to FCA on SI Regime
On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...