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 Publishes SPS Matrix Version 1.02
On December 19, 2025, ISDA published an updated version (v1.02) of the ISDA Digital Asset Derivative Definitions Settlement Price Source Matrix (‘SPS Matrix”). The SPS Matrix contains a list of Settlement Price Sources (SPSs) and related terms that parties can...
From Milestone to Modernization
We’re coming to the end of an exceptionally busy year at ISDA, in which we celebrated our 40th anniversary and doubled down on our enduring commitment to safe and efficient derivatives markets. Reflecting on ISDA’s achievements since 1985, it’s clear...
Response on ASIC Derivative Transaction Rules
On December 3, ISDA submitted a response to the Australian Securities and Investments Commission (ASIC) consultation on the remake of the ASIC Derivative Transaction Rules (Clearing) 2015, which are due to sunset on April 1, 2026. ASIC proposed to remake...
IRD Trading Activity Q3 2025
This report analyzes interest rate derivatives (IRD) trading activity reported in Europe. The analysis is based on transactions publicly reported by 30 European approved publication arrangements (APAs) and trading venues (TVs). Key highlights for the third quarter of 2025 include:...