ISDA-Clarus RFR Adoption Indicator increased to 10.6% in February compared to 10.0% 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 decreased to 11.0% of total IRD in February compared to 11.8% the prior month.
Key highlights for February 2021 include:
- RFR-linked IRD DV01 increased to $3.8 billion compared to $2.9 billion the prior month.
- Total IRD DV01 transacted was $35.5 billion compared to $29.1 billion the prior month.
- RFR-linked IRD traded notional increased to $17.6 trillion versus $15.3 trillion the prior month.
- Total IRD traded notional transacted was $160.8 trillion compared to $129.7 trillion the prior month.
- The percentage of trading activity in SOFR was 5.1% of total USD IRD DV01 transacted in February, down from 5.6% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 45.7% of total GBP IRD DV01.
- 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: February 2021
Latest
US Treasury Repo Clearing Indicators August 2026
The ISDA-Actrix US Treasury Repo Market Clearing Indicators illustrate central clearing adoption in the US Treasury repo market. Sponsored cleared repo volumes are used as a proxy to monitor client participation in central clearing, a key objective of the Securities...
Pursuing Efficiencies of Tokenization
As we mark the 10-year anniversary of the ISDA Standard Initial Margin Model (ISDA SIMM), which was launched in September 2016 to coincide with the first phase of initial margin (IM) requirements for non-cleared derivatives, we’ve been reflecting on its...
2026 ISDA Canada Conference Opening Remarks
2026 ISDA Canada Conference Toronto, September 24, 2026 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to the 2026 ISDA Canada Conference. Thank you for joining us today and thanks to our sponsor, Osler, Hoskin...
Transition to Mandatory Central Clearing
US Treasury securities sit at the heart of global financial markets and serve as one of the primary forms of high-quality collateral across derivatives and securities financing markets. The transition to mandatory central clearing of US Treasuries therefore has implications...