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 PDF below to read the full report.