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 half 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 40.7% compared to 22.8% in the second half of 2021.
- Global RFR-linked IRD traded notional accounted for 32.4% of total IRD traded notional in the first half of 2022 versus 16.4% in the second half of 2021.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs grew to $56.9 trillion in the first half of 2022 compared to $24.9 trillion in the second half of 2021. RFR transactions accounted for 36.0% of total OTC IRD traded notional, up from 22.5% in the second half of 2021.
- Based on US trading data, IRD traded notional referencing SOFR increased to $25.8 trillion in the first half of 2022 versus $7.7 trillion in the second half of 2021. SOFR transactions accounted for 33.2% of US dollar-denominated OTC IRD traded notional compared to 13.1% in the second half of 2021.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: First Half of 2022 and the Second Quarter of 2022
Latest
Joint Letter on Simplification of EU Taxonomy
On October 6, ISDA, the Association for Financial Markets in Europe (AFME), the European Fund and Asset Management Association (EFAMA), the European Association of Co-operative Banks (EACB) and the European Banking Federation (EBF) published a policy statement in support of...
Paper on Removal of SI Regime
On October 10, ISDA, the Association for Financial Markets in Europe (AFME) and the International Capital Market Association (ICMA) published a paper on the practical implications of the recent discontinuation of the systematic internalizer (SI) regime for derivatives, bonds and...
ISDA Analysis to ESMA on Reporting Costs
ISDA has submitted to the European Securities and Markets Authority (ESMA) an analysis of the costs of regulatory reporting, which proposes where savings can be made most effectively. This document supplements the recent response submitted by ISDA, the Association for...
Episode 52: Innovative Thinking
The pace of change in derivatives markets shows no sign of letting up, with rapid evolution across trading, regulation and technology. Industry veteran Don Wilson, founder of trading firm DRW, talks to The Swap about some of the biggest trends....