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
Global Trading in INR Derivatives
Global trading in derivatives involving the Indian rupee (INR) has expanded significantly over the past decade, reflecting the currency’s growing role in international hedging and trading activity. According to the Bank for International Settlements (BIS) Triennial Central Bank Survey, the...
Response to FCA on Commodity Derivatives Clearing
On April 9, ISDA, the Commodity Markets Council Europe (CMCE), Energy Traders Europe (ETE) and FIA jointly responded to Chapter 7 of the UK Financial Conduct Authority’s (FCA) Quarterly Consultation CP26/8 on increasing the clearing threshold for commodity derivatives under the UK...
Response on EC’s SFR Proposal
On April 9, ISDA published technical comments on the European Commission’s (EC) proposed Settlement Finality Regulation (SFR) as it applies to designated EU systems and registered third-country systems. One significant concern is that the scope of insolvency protections provided to...
Natixis CIB Adopts ISDA’s DRR
ISDA has announced that Natixis CIB has adopted ISDA’s Digital Regulatory Reporting (DRR) solution, enabling the bank to meet regulatory reporting requirements more efficiently and accurately. The ISDA DRR uses the Common Domain Model (CDM) – an open-source data standard...