Continued – IBOR reform: Global IBOR transition – Q2 2021 review – P4

JPY Swaps

Japan is taking a multiple rate approach. DTIBOR is expected to continue alongside TONA. ZTIBOR is planned to be discontinued 2 years after LIBOR cessation. There has been little change over the last 15 months. JPY-LIBOR will cease publication on December 31, 2021 but LIBOR remains >90% of all JPY swaps volumes with TONA, DTIBOR and ZTIBOR making up approximately 5%, 4% and 1% of traded volumes respectively.

 

CHF Swaps

There had been little change until the start of 2021. CHF-LIBOR will cease publication on December 31, 2021, but LIBOR remains approximately 70% of all CHF swaps volumes.

 

CAD Swaps

Canada is taking a multiple rate approach. Reformed/enhanced CORRA will continue alongside CDOR.

 

AUD Swaps

Australia is taking a multiple rate approach. The reformed BBSW is expected to continue alongside AONIA. Activity in AONIA has been very subdued over the last 12 months.

 

SGD Swaps

Singapore initially took a multiple rate approach. However, the reform of SIBOR to base it more on transaction data failed and will cease in 2024. SOR is expected to be replaced by SORA. March 2021 saw the first noticeable uptick in SORA volumes with its share of the SGD market doubling from 1.5% to just over 3%. Now in June SORA is almost 15%.

 

Conclusion

The FCA and most other regulators are clear, LIBOR and many other IBORs will become history. Progress on adoption of new RFRs has certainly been made, particularly in SONIA where over 75% of new trades are SONIA. Probably more interesting though is the sudden and sharp progress in CHF (SARON) and SGD (SORA) compared to the more tranquil growth in other RFRs. There is clearly still a way to go to see the new RFRs completely replace the IBORs in global swaps trading.

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