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
Joint Trades Submit Letter to BCBS Calling for Recalibration of Cryptoasset Prudential Standards
ISDA, in partnership with a coalition of leading global financial trade associations (“Joint Trades”), and with advisory support from Boston Consulting Group (BCG), Ashurst, and Sullivan & Cromwell, submitted a letter to the Basel Committee on Banking Supervision (BCBS). The...
ISDA Response on Common Carbon Data Model
On August 12, ISDA responded to a consultation from the Climate Data Steering Committee (CDSC) on a Common Carbon Credit Data Model. ISDA members believe the Group-of-20 carbon data model initiative is a positive step in addressing data gaps and...
Joint Response on RBA Consultation
On August 11, ISDA and FIA submitted a joint response to the Reserve Bank of Australia (RBA) on its consultation on guidance for Australia’s clearing and settlement facility resolution regime. The associations welcome publication of the draft guidance, which provides...
SwapsInfo H1 2025 and Q2 2025
Interest rate derivatives (IRD) trading activity increased in the first half of 2025, driven by continued interest rate volatility, evolving central bank policy expectations and persistent macroeconomic uncertainty. Trading in index credit derivatives also rose, as market participants responded to...