IDEAS home Printed from https://ideas.repec.org/a/bis/bisqtr/2512c.html

Goodbye Libor, hello basis traders: unpacking the surge in global interest rate derivatives turnover

Author

Listed:
  • Torsten Ehlers
  • Karamfil Todorov

Abstract

Structural and cyclical factors have driven a surge in turnover of interest rate derivatives (IRDs) since 2022 – both in over-the-counter (OTC) and exchange-traded (XTD) markets. The reform of benchmark rates and the shift away from Libor has fundamentally reshaped OTC markets, with overnight index swaps becoming the dominant instrument. In XTD markets, positions in government bond futures have risen dramatically, fuelled by hedge funds exploiting arbitrage opportunities through the cash-futures basis trade. Meanwhile, the sharp shifts in monetary policy since 2022 boosted turnover, especially for exchange-traded money market futures for major currencies. By contrast, growth in turnover for emerging market currencies was driven primarily by OTC contracts. Further market deepening may be held back by the complex geography of central clearing and the lack of markets for XTD government bond futures.

Suggested Citation

  • Torsten Ehlers & Karamfil Todorov, 2025. "Goodbye Libor, hello basis traders: unpacking the surge in global interest rate derivatives turnover," BIS Quarterly Review, Bank for International Settlements, December.
    • Handle: RePEc:bis:bisqtr:2512c
    as

    Download full text from publisher

    File URL: https://www.bis.org/publ/qtrpdf/r_qt2512c.pdf
    Download Restriction: no
    File URL: https://www.bis.org/publ/qtrpdf/r_qt2512c.htm
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisqtr:2512c. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.