The Transition to Risk-free Rates (RFRs) Review analyzes the trading volumes of over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate, the Euro Short-Term Rate and the Australian Overnight Index Average.

Key highlights for the first quarter of 2021 include:

• The ISDA-Clarus RFR Adoption Indicator, which tracks how much global trading activity (as measured by DV01) is conducted in cleared OTC and exchange-traded IRD that reference the identified RFRs in six major currencies, decreased to 9.8% compared to 9.9% in the fourth quarter of 2020.

• Global RFR-linked IRD traded notional accounted for 10.6% of total IRD traded notional compared to 12.3% in the prior quarter.

• Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased by 41.1% to $5.5 trillion compared to $3.9 trillion in the fourth quarter of 2020. However, RFR transactions accounted for 7.8% of total IRD traded notional compared to 9.5% in the prior quarter.

• Based on US trading data, IRD traded notional referencing SOFR increased to $780.7 billion from $620.9 billion in the prior quarter. The proportion of IRD traded notional linked to SOFR remained small, accounting for only 1.1% of total IRD traded notional.

• IRD traded notional referencing SONIA increased to $4.6 trillion compared to $3.2 trillion in the fourth quarter of 2020. SONIA transactions accounted for 6.5% of total IRD traded notional.

Click on the attached PDF to read the full report.