Template-Type: ReDIF-Article 1.0
Author-Name: Wenqian Huang
Author-Name: Karamfil Todorov
Title: The post-Libor world: a global view from the BIS derivatives statistics
Abstract: The transition from Libor to "nearly risk-free" rates (RFRs) has led to structural changes that have reshaped the trading and hedging behaviour of participants in fixed income markets. Using the BIS Triennial Survey statistics, we document four major changes in the instrument mix and geographical distribution of the global turnover of OTC interest rate derivatives between 2019 and 2022. First, forward rate agreements (FRAs) became largely obsolete because of reduced fixing risk. This led to a decline in FRA trading, which dragged down overall turnover. Second, trading in swaps referencing RFRs increased. Third, the UK and US shares in global turnover dropped, whereas the share of the euro area rose. Finally, new instruments emerged to manage morphing basis risks in the post-Libor world. 
Journal: BIS Quarterly Review
File-URL: http://www.bis.org/publ/qtrpdf/r_qt2212e.pdf
File-Format: Application/pdf
File-URL: http://www.bis.org/publ/qtrpdf/r_qt2212e.htm
File-Format: text/html
Year: 2022
Month: December
Classification-JEL: E43, G12, G21, G23.
Handle: RePEc:bis:bisqtr:2212e