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.