ISDA-Clarus RFR Adoption Indicator decreased to 8.8% in March compared to 10.6% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD decreased to 9.3% of total IRD in March compared to 11.0% the prior month.
Key highlights for March 2021 include:
- RFR-linked IRD DV01 decreased to $3.2 billion compared to $3.8 billion the prior month.
- Total IRD DV01 transacted increased to $36.3 billion compared to $35.6 billion the prior month.
- RFR-linked IRD traded notional declined to $15.3 trillion versus $17.6 trillion the prior month.
- Total IRD traded notional transacted increased to $164.4 trillion compared to $160.8 trillion the prior month.
- The percentage of trading activity in SOFR was 4.7% of total USD IRD DV01 transacted in March, down from 5.1% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 44.9% of total GBP IRD DV01.
- EUR had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.
To access interactive charts and export the data, click here.
A whitepaper on the methodology is available here.
Documents (1) for ISDA-Clarus RFR Adoption Indicator: March 2021
Latest
Paper on Enhancing Liquidity and Risk Management
As ISDA marks its 40th anniversary this year, it is an opportune time to reflect on the challenges and opportunities faced by the global derivatives markets over the past four decades. Rapid growth, continued innovation, regulatory reform, central clearing, margining,...
Trade Bodies Seek Delay on Third-Country CCP Rules
On October 21, ISDA and nine other trade associations – the Alternative Investment Management Association, the European Association of Co-operative Banks, the European Association of Corporate Treasurers, the European Banking Federation, the European Fund and Asset Management Association, the European...
ISDA and Tokenovate Launch CDM Taskforce
ISDA and Tokenovate have today announced the establishment of a new taskforce within the Fintech Open Source Foundation (FINOS) to accelerate operationalization of the Common Domain Model (CDM). The initiative responds to growing market demand for standardized, interoperable post-trade processing...
ISDA Trading Forum Sydney: CEO Remarks
ISDA Derivatives Trading Forum Sydney October 21, 2025 Opening Remarks Scott O’Malia ISDA Chief Executive Officer Good morning, and welcome to the Derivatives Trading Forum. It’s great to be back in Sydney following our last trip back in August....