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
Latest
ISDA Publishes DC Governance Committee Proposal
ISDA has published a proposal for a new governance committee for the CDS Determinations Committees (DCs), the first in a series of amendments to improve the structure of the DCs and maintain their integrity in changing economic and market conditions....
CDS Governance Committee Public Consultation
ISDA is pleased to present the proposed Charter for the Credit Derivatives Governance Committee and accompanying DC Rule changes to implement. Pursuant to the announcement made in 2024, an ISDA working group formed from ISDA’s Credit Steering Committee has worked...
TD Securities Integrates ISDA Create
ISDA has announced that TD Securities has completed its integration of ISDA Create across its global suite of client trading and regulatory agreements. Powered by CreateiQ and S&P Global Market Intelligence, ISDA Create allows users to digitally transform the trading...
ISDA to Extend DRR to cover MIFID/MIFIR Reporting
ISDA has announced it will extend the ISDA Digital Regulatory Reporting (ISDA DRR) solution to cover reporting requirements under the EU and UK Markets in Financial Instruments Directive (MIFID) and Markets in Financial Instruments Regulation (MIFIR), and is working with...