ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 26.3% in November compared to 24.5% 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 comprised 17.7% of total IRD in November compared to 17.0% the prior month.
Key highlights for November 2021 include:
- RFR-linked IRD DV01 totaled $9.0 billion compared to $8.9 billion the prior month.
- Total IRD DV01 transacted decreased to $34.4 billion compared to $36.3 billion the prior month.
- RFR-linked IRD traded notional decreased to $29.7 trillion versus $31.9 trillion the prior month.
- Total IRD traded notional transacted decreased to $168.0 trillion compared to $187.8 trillion the prior month.
- The percentage of trading activity in SOFR reached 19.2% of total USD IRD DV01 transacted in November compared to 15.8% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 76.4% of total GBP IRD DV01.
- JPY 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: November 2021
Latest
ISDA Response – ROC Consultation on Revised CDE Version 4
The International Swaps and Derivatives Association, Inc. (ISDA) response to the Regulatory Oversight Committee (ROC) consultation on the harmonisation of critical OTC derivatives data elements (CDE) revised CDE Technical Guidance – version 4, submitted to the ROC on January 24,...
ISDA response to ESMA MiFIR Review Consultation
On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...
Canadian Transaction Reporting Party Requirements
These Reporting Party Requirements establish the hierarchy and tie-breaker logic to determine a single reporting counterparty for Canadian provincial reporting. By leveraging the existing reporting party standard established for reporting to the CFTC, in most cases these rules facilitate submission...
ISDA In Review – June 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in June 2025.