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 (SONIA), 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 first half of 2021 include:
- The average monthly 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 10.2% in the first half of 2021 compared to 6.5% in the first half of 2020.
- Global RFR-linked IRD traded notional accounted for 10.9% of total IRD traded notional compared to 7.4% in the first half of 2020.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs decreased by 15.9% to $9.2 trillion in the first half of 2021 compared to $10.9 trillion in the first half of 2020.
- Based on US trading data, IRD traded notional referencing SOFR increased to $1.7 trillion from $488.6 billion in the first half of 2020. The proportion of IRD traded notional linked to SOFR remained small, accounting for only 1.4% of total IRD traded notional.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: First Half of 2021 and the Second Quarter of 2021
Latest
SwapsInfo Full Year 2024 and Q4 2024
Interest rate derivatives (IRD) trading activity increased in 2024, driven by interest rate volatility, adjustments in central bank policies and shifting market expectations on inflation and economic growth. Index credit derivatives also saw increased activity, as measured by traded notional,...
ISDA Response on UK MIFID Transaction Reporting
On February 14, ISDA submitted a response to the UK Financial Conduct Authority’s (FCA) discussion paper 24/2 on improving the UK transaction reporting regime under the UK Markets in Financial Instruments Directive (MIFID) framework. The FCA indicated it is making...
Saudi Capital Markets Event Welcome Remarks
Capital Markets & the Kingdom of Saudi Arabia February 19, 2025 Opening Remarks Scott O’Malia ISDA Chief Executive Good morning, everyone. I’d like to add my thanks to Saudi Tadawul Group for working with us on this event, as...
Appropriate Capital Regs Needed for Liquid Markets
The Basel III capital framework was designed to strengthen the regulation, supervision and risk management of banks in response to weaknesses exposed by the global financial crisis. As the last components of the framework are finalized and implemented around the...