Research & Analysis

IBOR reform: Q3 2021 review – SORA, SARON, TONA and SOFR are the big movers…

Following up on our Q2 and Q1 reviews OSTTRA has assessed the data processed by our MarkitWire platform to evaluate the progress during Q3 of interbank offered rate (IBOR) transition for the $355 trillion single currency interest rate swaps (IRS) market. Analysing market share in; EUR, GBP, USD, JPY, CHF, AUD, CAD, and SGD between legacy IBORs, legacy / continuing overnight index swaps (OIS) and the new risk free rates (RFRs).



How has the market share of RFRs evolved since the start of 2020?


GBP Swaps

Background: Reformed SONIA will replace LIBOR which will cease publication on December 31, 2021.

GBP continues to lead the pack; reformed SONIA now makes up almost 80% of new trades executed…

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… and approximately 85% of the notional traded.

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EUR Swaps

Background: EuroSTR (a.k.a. €STR) will replace EONIA. There was an initial uptick at the end of July 2020 driven by the CCPs switching from EONIA to EuroSTR discounting on 25 July 2020. It is expected that EURIBOR will continue to be published until at least 2025 but that there will be a material migration to EuroSTR. EUR-LIBOR will cease publication on 31 December 2021, but it is not traded in the swaps market, there have been <10 trades a month for many years

EuroSTR continues its modest progress creeping up to 4.5% of EUR swaps executed in September, up some 50% from 2.8% in June.

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… and approximately 7% of notional traded.

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