The ISDA-Clarus RFR Adoption 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.
- The RFR Adoption Indicator jumped to 9.5% in September compared to 6.4% the prior month.
- RFR-linked IRD DV01 increased to $2.6 billion, compared to $1.4 billion the prior month.
- Total IRD DV01 transacted in September was $27.1 billion compared to $21.8 billion the prior month.
- RFR-linked IRD traded notional accounted for 12.4% of total IRD traded notional in September compared to 8.9% the prior month.
- RFR-linked IRD traded notional was $14.2 trillion versus $8.3 trillion the prior month.
- Total IRD traded notional transacted in September was $115.0 trillion compared to $93.3 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 79.4% of RFR-linked IRD DV01 transacted in September.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 39.2% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 4.1% of total USD IRD DV01 transacted in September.
- EUR 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: September 2020
Latest
Joint Response to FCA and HMT Consultations
On January 16, ISDA and UK Finance responded to both the consultation on streamlining the UK European Market Infrastructure Regulation (UK EMIR) intragroup regime by the Financial Conduct Authority’s (FCA) and the draft statutory instrument from His Majesty’s Treasury (HMT)....
Key Trends in OTC Derivatives Market H1 2025
The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows an increase in notional outstanding of OTC derivatives during the first half of 2025 compared to the first half of 2024. Notional outstanding rose across...
Credit Derivatives Trading Activity Q3 2025
This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...
Striking a Balance on EU Market Risk Capital
With US prudential regulators poised to publish a revised Basel III endgame proposal this year, and EU and UK regulators moving to finalize their own rules, ISDA is maintaining a laser focus on achieving a risk-appropriate capital framework that is...