Insights

IBOR reform: Global IBOR transition – Q2 2021 review

Following up on our Q1 review OSTTRA has assessed the data processed by our MarkitWire platform to evaluate the progress during Q2 of (interbank offered rate) IBOR transition for single currency interest rate swaps (IRS), 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).

The FCA confirmed on March 5, 2021 that many of the existing London interbank offered rates (LIBORs) will cease to be published at the end of 2021 with a small number of rates continuing on a synthetic basis beyond that and USD-LIBOR continuing to the end of June 2023 for a subset of tenors.

 

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

 

GBP Swaps

GBP continues to lead the pack in the IBOR reform / transition programme. The Reformed SONIA now makes up 75% of new trades executed…

 

…and almost 80% of the notional traded.

 

This is significant progress from Q1 (55%, 60% respectively) but GBP-LIBOR will cease publication on December 31, 2021, so there is still little way to go ahead of cessation. And much of the new IBOR transactions being executed matures post December 31, 2021, albeit some of this activity maybe offsetting legacy risk…

 

That said SONIA is trading more at long dated tenors…

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