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 the 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 full year 2020 include:

• The 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 7.6% in the full year 2020 compared to 4.6% in the prior year.
• Global RFR-linked IRD traded notional accounted for 8.8% of total IRD traded notional compared to 5.4% in 2019.
• Based on US trading data, traded notional of OTC IRD referencing alternative RFRs increased to $18.7 trillion in 2020 compared to $8.7 trillion in 2019. RFR transactions accounted for 8.1% of total IRD traded notional in 2020 compared to 3.4% in the prior year.
• Based on US trading data, IRD traded notional referencing SOFR increased to $1.3 trillion from $379.9 billion in the prior year. The proportion of IRD traded notional linked to SOFR remained small, accounting for only 0.6% of total IRD traded notional.
• IRD traded notional referencing SONIA increased to $17.0 trillion in 2020 compared to $8.1 trillion in 2019. SONIA transactions accounted for 7.4% of total IRD traded notional.