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 half of 2021 include:
- The average monthly 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, increased to 10.2% in the first half of 2021 compared to 6.5% in the first half of 2020.
- Global RFR-linked IRD traded notional accounted for 10.9% of total IRD traded notional compared to 7.4% in the first half of 2020.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs decreased by 15.9% to $9.2 trillion in the first half of 2021 compared to $10.9 trillion in the first half of 2020.
- Based on US trading data, IRD traded notional referencing SOFR increased to $1.7 trillion from $488.6 billion in the first half of 2020. The proportion of IRD traded notional linked to SOFR remained small, accounting for only 1.4% of total IRD traded notional.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: First Half of 2021 and the Second Quarter of 2021
Latest
India Forum Scott O'Malia Opening Remarks
India Derivatives Markets Forum April 16, 2026 Opening Remarks Scott O’Malia, ISDA Chief Executive Good morning and welcome. This is the third year we’ve run the India Derivatives Markets Forum, and the number of people attending has grown each...
Global Trading in INR Derivatives
Global trading in derivatives involving the Indian rupee (INR) has expanded significantly over the past decade, reflecting the currency’s growing role in international hedging and trading activity. According to the Bank for International Settlements (BIS) Triennial Central Bank Survey, the...
Response to FCA on Commodity Derivatives Clearing
On April 9, ISDA, the Commodity Markets Council Europe (CMCE), Energy Traders Europe (ETE) and FIA jointly responded to Chapter 7 of the UK Financial Conduct Authority’s (FCA) Quarterly Consultation CP26/8 on increasing the clearing threshold for commodity derivatives under the UK...
Response on EC’s SFR Proposal
On April 9, ISDA published technical comments on the European Commission’s (EC) proposed Settlement Finality Regulation (SFR) as it applies to designated EU systems and registered third-country systems. One significant concern is that the scope of insolvency protections provided to...