というBISレポートをMostly Economicsが紹介している。原題は「Goodbye Libor, hello basis traders: unpacking the surge in global interest rate derivatives turnover」で、著者はTorsten Ehlers、Karamfil Todorov。
以下はその結論部。
The rapid growth in global IRD turnover from 2022 to 2025 reflects the combined influence of structural and cyclical forces. The benchmark rate reform has reshaped OTC markets, with the transition to nearly risk-free rates making OIS the dominant trading instrument. In XTD markets, the cashfutures basis trade has driven a significant rise in positioning, particularly in US Treasury futures by hedge funds and asset managers. Continued US Treasury issuance alongside quantitative tightening is likely to keep the basis trade active. However, a sudden tightening in funding or margin conditions could trigger leveraged unwinds and amplify volatility across XTD and OTC markets. Shifting monetary policy expectations have also contributed to greater turnover, especially in short rate contracts, as rises in the short rate boosted hedging and speculative demand. In contrast with that for advanced economies, growth in IRD turnover for EME currencies has occurred primarily in OTC markets rather than in XTD markets. The complex geography of clearing and the underdevelopment of XTD markets remain constraints for further market deepening. Regulatory initiatives to improve clearing access and foster local XTD markets could support market development.
（拙訳）
2022年から2025年に掛けての世界の金利デリバティブ取引高の急増は、構造的および循環的な力が組み合わさった影響を反映している。ベンチマーク金利改革は店頭市場を作り変え、ほぼリスクフリーの金利に移行したことで翌日物金利スワップが主要な取引ツールとなった。取引所取引市場では、現物と先物のベーシス取引が建玉を大きく押し上げ、特にヘッジファンドとアセットマネージャーが取引する米国債先物でそうだった。量的引き締めと並行して米国債が発行を継続していることで、ベーシス取引の活況は維持される可能性が高い。だが、資金調達や証拠金の環境が突然厳しくなれば、レバレッジの解消を引き起こし、取引所取引市場ならびに店頭市場でのボラティリティを増幅しかねない。金融政策予想の変化も、短期金利上昇がヘッジと投機の需要を押し上げたことで、特に短期金利の取引において、取引高の増加に寄与した。先進国とは対照的に、新興国通貨の金利デリバティブの取引高の増加は、取引所取引市場ではなく主に店頭市場で生じた。清算市場の複雑な地理学*1と取引所取引市場が十分に発達していないことは、さらなる市場の深化への制約であり続ける。清算へのアクセスを改善し、地元の取引所取引市場を育成する規制当局のイニシアティブは、市場の発展を支援するであろう。
日本の金利デリバティブ市場については以下のように書かれている。
In Japan, the benchmark reform has also been accompanied by unique dynamics. While the Tokyo overnight average rate (TONA) has become the dominant RFR, the Tokyo interbank offered rate (Tibor), a reformed IBOR, is maintained for domestic contracts since some market participants still require a credit-sensitive term rate to hedge longer-term funding costs or manage credit risk. The publication of Tibor for offshore euro-yen contracts, however, ceased at the end of 2024. As a result, the bulk of yen IRD turnover is now concentrated in OIS (Graph 2.B).
（拙訳）
日本でもベンチマーク改革は独自の推移を辿った。無担保コール翌日物金利（TONA）が主要なリスクフリー金利になったものの、より長期の資金調達コストのヘッジやクレジットリスク管理のために市場参加者の一部が依然としてクレジットリスク込みのターム物金利を要望したため、改善されたIBORである東京銀行間取引金利（Tibor）が国内取引のために維持された。しかし、オフショアのユーロ円取引のためのTiborの公表は2024年末で停止した。その結果、円金利デリバティブは今では翌日物金利スワップに集中している（グラフ2.B）。
*1:本文ではこの点について次のように記述している：
Much of the increase in turnover of OTC IRD for EME currencies over the last decade has been driven by trades in foreign locations (Graph 6.A) rather than domestic markets. For example, IRDs denominated in central and eastern European currencies and the South African rand are predominantly recorded at sales desks in the United Kingdom (Graph 6.B). Similarly, OTC IRDs in Asian currencies are mostly recorded in Hong Kong SAR and Singapore, while Latin American currencies see a disproportionate share of turnover recorded at sales desks in the United States.
On the one hand, these patterns suggest that IRDs in EME currencies exhibit a high degree of internationalisation, consistent with the trend in FX derivatives (Caballero et al (2022) ). On the other hand, the share of non-local trading is indicative of the complex geography of central clearing for OTC IRD derivatives, which in turn is influenced by the concentration of clearing in a few global central counterparties (CCPs).7 Clearing of OTC IRDs for EME currencies is essentially concentrated in two key CCPs: the London Clearing House in the United Kingdom and the Chicago Mercantile Exchange in the United States. This presents challenges for deepening IRD markets in EMEs, where local institutions often lack clearing membership at the major CCPs (Box C). Only a few currencies, such as the Malaysian ringgit, Indian rupee and Chinese renminbi, exhibit local trading shares comparable with those of advanced economy currencies (Graph 6.B).
・原注7：While for EME currencies, the share of cleared derivatives is lower than for advanced economies (67% compared with 87% of outstanding derivatives positions), it is still substantial.
・Caballero et al (2022)：Caballero, J, A Maurin, P Wooldridge and D Xia (2022): "The internationalisation of EME currency trading", BIS Quarterly Review, December, pp 49–65. リンク先＝The internationalisation of EME currency trading
