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 first quarter of 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 36.6% in the first quarter of 2022 compared to 27.1% in the prior quarter.
- Global RFR-linked IRD traded notional accounted for 27.6% of total IRD traded notional in the first quarter of 2022 versus 18.2% in the fourth quarter of 2021.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased by 54.9% to $27.1 trillion in the first quarter of 2022 compared to $17.5 trillion in the previous quarter.
- Based on US trading data, IRD traded notional referencing SOFR increased to $12.8 trillion in the first quarter of 2022 from $5.6 trillion in the fourth quarter of 2021.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: First Quarter of 2022
Latest
ISDA Extends Saudi Arabia Netting Opinions
ISDA has extended its netting opinions for Saudi Arabia to cover regulations published by the Capital Market Authority (CMA) earlier this year that recognize the enforceability of close-out netting. The CMA regulations were published in July, and follow similar rules...
ISDA Publishes ISDA SIMM® Methodology, Version 2.8+2506
ISDA has published the ISDA SIMM® Methodology, version 2.8+2506, which is effective from December 6, 2025. This version of the SIMM includes updates based on the calibration of the main delta risk weights and other parameters using data up to...
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.
Why We Must Seize the Moment to Fix Reporting
From the retirement of LIBOR to the rollout of margin requirements for non-cleared derivatives, we’ve seen over the past decade how some of the thorniest challenges have been overcome through close collaboration between the industry and the public sector. We...