Featured Product

    ISDA Launches Indicator to Monitor Risk-Free Rate Adoption

    July 28, 2020

    ISDA launched a new indicator to monitor the adoption of alternative risk-free rates in derivatives trading. ISDA published the first monthly report of this indicator, which has been developed in conjunction with Clarus Financial Technology and will provide a snapshot of the risk-free rates trading activity in the interest rate derivatives markets. The snapshot will be based on global cleared over-the-counter (OTC) and exchange-traded derivatives data from seven central counterparties spanning six currencies (AUD, CHF, EUR, GBP, JPY, and USD). ISDA also published a whitepaper that details the methodology behind the indicator (and sub-indicators) to monitor the extend of risk-free rate derivatives trading activity.

    The indicator is intended to help derivatives market participants keep tabs on progress to shift to risk-free rates ahead of the end of 2021, when FCA will no longer compel or persuade banks to make LIBOR submissions. The risk-free rates adoption indicator tracks the percentage of cleared interest rate derivatives trading activity that references risk-free rates, measured by DV01. DV01 is a gauge of risk that represents the valuation change in a derivative contract resulting from a parallel basis point shift in the swaps curve. ISDA and Clarus also developed a number of sub-indicators that provide additional granularity based on currencies, tenor, over-the-counter versus exchange-traded interest rate derivatives, and notional amount traded. The indicator uses notional volume data in USD equivalent as the input data. Notional traded as reported by central counterparties is used for OTC interest rate derivatives markets. The number of contracts traded is converted into notional equivalents for exchange-traded derivatives markets. Contracts referencing historically dominant rates are grouped together as other indices. These cover the major interbank offered rates (IBORs) in the six currencies as well as EONIA and the effective federal funds rate. The risk-free rates covered are USD SOFR, EUR €STR, GBP SONIA, JPY TONA, AUD AONIA, CHF SARON. Only transactions cleared via a central counterparty are captured. The indicator is designed to be flexible in case other central counterparties or futures contracts gain significant volumes.

     

    Related Links

    Keywords: International, Banking, Securities, Risk-Free Rates, IBOR, Derivatives, Interest Rate Benchmarks, Benchmark Reforms, Risk-Free Rate Adoption, ISDA

    Related Articles
    News

    EBA Publishes Final Regulatory Standards on STS Securitizations

    The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.

    September 20, 2022 WebPage Regulatory News
    News

    ECB Further Reviews Costs and Benefits Associated with IReF

    The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.

    September 15, 2022 WebPage Regulatory News
    News

    EBA Publishes Funding Plans Report, Receives EMAS Certification

    The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).

    September 15, 2022 WebPage Regulatory News
    News

    MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures

    The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.

    September 15, 2022 WebPage Regulatory News
    News

    BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules

    The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.

    September 15, 2022 WebPage Regulatory News
    News

    IOSCO Welcomes Work on Sustainability-Related Corporate Reporting

    The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)

    September 15, 2022 WebPage Regulatory News
    News

    BoE Allows One-Day Delay in Statistical Data Submissions by Banks

    The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.

    September 14, 2022 WebPage Regulatory News
    News

    ACPR Amends Reporting Module Timelines Under EBA Framework 3.2

    The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.

    September 14, 2022 WebPage Regulatory News
    News

    ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies

    The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)

    September 13, 2022 WebPage Regulatory News
    News

    APRA to Modernize Prudential Architecture, Reduces Liquidity Facility

    The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.

    September 12, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8514