Transition to RFRs Review: First 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 quarter 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, increased to a monthly average of 54.0% in the first quarter of 2023 compared to 51.7% in the fourth quarter of 2022.
  • Global RFR-linked IRD traded notional accounted for 50.3% of total IRD traded notional in the first quarter of 2023 versus 47.4% in the prior quarter.
  • US-reported OTC IRD traded notional referencing alternative RFRs increased to $48.4 trillion in the first quarter of 2023 compared to $30.2 trillion in the fourth quarter of 2022. RFR transactions accounted for 45.2% of total OTC IRD traded notional in the first quarter of 2023, up from 44.3% in the previous quarter.
  • Based on US trading data, OTC IRD traded notional referencing SOFR grew to $22.1 trillion in the first quarter of 2023 versus $14.2 trillion in the fourth quarter of 2022. SOFR transactions accounted for 46.3% of US dollar-denominated OTC IRD traded notional in the first quarter of 2023 compared to 46.5% in the fourth quarter of 2022.

Click on the attached PDF to read the full report.

Documents (1) for Transition to RFRs Review: First Quarter of 2023

Recognition of Cross-product Netting is Critical

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ISDA, GFXD Response to FCA on SI Regime

On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...

ISDA Response on Clearing Costs

On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...