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, 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 third quarter 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, reached 17.4% compared to 11.0% in the prior quarter.
- Global RFR-linked IRD traded notional accounted for 13.9% of total IRD traded notional versus 11.4% in the second quarter of 2021.
- Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased by 97.0% to $7.5 trillion in the third quarter of 2021 compared to $3.8 trillion in the second quarter of 2021.
- Based on US trading data, IRD traded notional referencing SOFR increased by 127.4% to $2.1 trillion in the third quarter of 2021 from $932.9 billion in the second quarter of 2021. The increase was primarily driven by the SOFR First initiative that started for linear derivatives on July 26, 2021.
Click on the attached PDF to read the full report.
Documents (1) for Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021
Latest
Response to BoE on Systemic Stablecoins
On February 10, ISDA responded to the Bank of England’s (BoE) consultation on a proposed regulatory regime for sterling-denominated systemic stablecoins. In the response, ISDA highlights that any regulatory framework should be assessed through the lens of prudent risk management...
SwapsInfo Full Year 2025 and Q4 2025
Trading activity in interest rate derivatives (IRD) and credit derivatives increased in 2025, reflecting shifting monetary policy expectations and broader market conditions. IRD traded notional rose by about 46% year-on-year, led by an increase in overnight index swaps (OIS). Index...
ISDA ALF: Katherine Tew Darras Opening Remarks
ISDA Annual Legal Forum London, February 11, 2026 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to ISDA’s Annual Legal Forum. Thank you for joining us today and thanks to our platinum sponsors – Cleary...
Maintaining Focus on Basel III Endgame Recalibration
In its original form, the US Basel III endgame proposal would have resulted in disproportionate increases in capital for trading book activities, forcing banks to make difficult choices about their participation in certain businesses. After two-and-a-half years, a revised proposal...