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.