Transition to RFRs Review: First Half of 2023 and the Second Quarter of 2023

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 RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average (SONIA) and the Euro Short-Term Rate (€STR).

Key highlights for the first half of 2023 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 RFRs in eight major currencies, rose to a monthly average of 56.2% in the first half of 2023 compared to 50.5% in the second half of 2022.
  • Global RFR-linked IRD traded notional accounted for 52.3% of total IRD traded notional in the first half of 2023 versus 44.9% in the second half of 2022.
  • US-reported OTC IRD traded notional referencing alternative RFRs increased by 49.1% to $89.5 trillion in the first half of 2023 compared to $60.1 trillion in the second half of 2022. RFR transactions accounted for 48.5% of total OTC IRD traded notional in the first half of 2023, up from 43.5% in the second half of 2022.
  • US-reported OTC IRD traded notional referencing SOFR rose by 44.9% to $41.7 trillion in the first half of 2023 versus $28.8 trillion in the second half of 2022. SOFR transactions comprised 51.7% of US dollar-denominated OTC IRD traded notional in the first half of 2023 compared to 44.9% in the second half of 2022.

Click on the attached PDF to read the full report.

Documents (1) for Transition to RFRs Review: First Half of 2023 and the Second Quarter of 2023

Response on Commodity Derivatives Markets

On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...

Episode 50: The Value of Derivatives

A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...