JPY Swaps
Background: Japan is taking a multiple rate approach. TIBOR (a.k.a. DTIBOR) is expected to continue alongside TONA. Euroyen TIBOR (a.k.a. ZTIBOR) is planned to be discontinued 2 years after LIBOR cessation. JPY-LIBOR ceased publication on December 31, 2021.
TONA has continued its rise, with 95% of JPY swaps executed in Q1 2022 referencing TONA.
CHF Swaps
Background: CHF-LIBOR ceased publication on December 31, 2021.
Here is how the story unfolded with 100% of single currency interest rate swaps executed in SARON in 2022.
CAD Swaps
Background: Canada is taking a multiple rate approach. Reformed/enhanced CORRA will continue alongside CDOR.
CDOR continues to dominate swap volumes, but CORRA accounted for 8% of CAD swaps executed in the last 6 months. That is nearly triple its historic levels.
AUD Swaps
Background: Australia is taking a multiple rate approach. The reformed BBSW is expected to continue alongside AONIA.
Activity in AONIA has been very subdued for quite some time but after picking up in the second half of 2021, it has grown to almost 10% in the last two months.
SGD Swaps
Background: 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.
SORA has continued its rise, with 98% of SGD swaps executed in March 2022 referencing SORA.
Conclusion
The FCA and most other regulators have been clear, LIBOR and many other IBORs will become extinct in the global swaps market. Progress on adoption of new RFRs has certainly been made, particularly in; SGD (SORA) [c.98%], GBP (SONIA) [100%], CHF (SARON) [100%], JPY (TONA) [c.95%] of new trades are traded on the new RFRs. Elsewhere, AUD (AONIA) [c.10%], CAD (CORRA) [8%], EUR (EuroSTR) [c.20%], and USD (SOFR) [c.60%]. So, while for some currencies the journey is complete, for others the journey continues.
Final thought
With this seismic shift in the products traded in the global OTC derivatives markets, it is reasonable to consider whether there has been any impact on market structure. Well, recently I was approached by a European regulator focussed on the benchmark transition asking when we would be publishing our next update on IBOR versus RFR volumes, (here it is!), and asked whether there is any difference in the trading location data between existing IBORs and the new RFRs. Well to find out the answer, read my piece on the Brexit impact on trading location: Global OTC IRS markets – Q1 2022 review.
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