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 full year 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 45.3% compared to 16.4% in 2021.
- Global RFR-linked IRD traded notional accounted for 38.4% of total IRD traded notional in 2022 versus 13.7% in 2021.
- Based on US trading data, OTC IRD traded notional referencing alternative RFRs increased to $116.9 trillion in 2022 compared to $34.2 trillion in 2021. RFR transactions accounted for 39.5% of total OTC IRD traded notional, up from 14.7% in 2021.
- Based on US trading data, OTC IRD traded notional referencing SOFR grew to $54.5 trillion in 2022 versus $9.4 trillion in 2021. SOFR transactions accounted for 38.5% of US dollar-denominated OTC IRD traded notional compared to 7.4% in 2021.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: Full Year 2022 and the Fourth Quarter of 2022
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
ISDA/IIF Responds to the PRA Consultation
On July 30th, ISDA and IIF responded to the PRA consultation (CP10/25) on enhancing banks’ and insurers’ approaches to managing climate-related risks, which proposes updates to the Supervisory Statement 3/19 on climate-related risk management for banks and insurers. ISDA and...
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...