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, 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 third quarter of 2022 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 the identified RFRs in six major currencies, increased to a monthly average of 49.7% in the third quarter of 2022 compared to 45.5% in the second quarter of 2022.
- Global RFR-linked IRD traded notional accounted for 42.9% of total IRD traded notional in the third quarter of 2022 versus 38.3% in the prior quarter.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs fell by 0.8% to $29.6 trillion in the third quarter of 2022 compared to $29.8 trillion in the second quarter of 2022. RFR transactions accounted for 42.7% of total OTC IRD traded notional, up from 41.8% in the second quarter of 2022.
- Based on US trading data, IRD traded notional referencing SOFR increased to $14.4 trillion in the third quarter of 2022 versus $13.0 trillion in the prior quarter. SOFR transactions accounted for 44.8% of US dollar-denominated OTC IRD traded notional compared to 41.4% in the second quarter of 2022.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: Third Quarter of 2022 and Year-to-September 30, 2022
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