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.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: Full Year 2022 and the Fourth Quarter of 2022
Latest
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.
ISDA Feedback on Identifying Reference Data
On July 20, ISDA submitted feedback to the European Securities and Markets Authority (ESMA) on draft Level 3 guidance on several technical issues caused by the interaction of the recently adopted regulatory technical standard on derivatives transparency (RTS 2) and...
US Basel III Endgame 2026 Update
In March 2026, the Board of Governors of the Federal Reserve System, the Office of the Comptroller of the Currency and the Federal Deposit Insurance Corporation published a new proposal for capital rules known as the US Basel III, based...
Episode 59: Reducing Burdens
As she nears the end of her term as chair of the European Securities and Markets Authority, Verena Ross joins The Swap to discuss progress in simplifying and reducing the burden of EU financial regulation, including transaction reporting. Please view...