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
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...