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
Stress Scenarios for CCP IM Simulators
ISDA has published a paper that explains why stress scenarios that central counterparties (CCPs) use for default fund sizing cannot be used for forward-looking initial margin (IM) simulators. Typically, stress scenarios used by CCPs consist of a single step, transitioning...
Paper on EMIR 3 Active Account Representativeness
On September 4, ISDA, the European Fund and Asset Management Association (EFAMA) and FIA shared a paper with EU policymakers requesting clarification on the implementation of the active account requirement under the third European Market Infrastructure Regulation in relation to...
ISDA In Review – August 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in August 2025.
Episode 51: Trading Places
Markets have been volatile so far this year, but what has this meant for market liquidity? The Swap talks to Chris Edmonds from Intercontinental Exchange on trading activity and the market, economic and geopolitical outlook. Please view this page via...