The ISDA-Clarus RFR Adoption Indicator declined to 8.3% in November compared to 11.6% 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 accounted for 10.4% of total IRD in November, down from 13.3% the prior month.
Key highlights for November 2020 include:
- RFR-linked IRD DV01 declined to $2.2 billion in November, compared to $3.0 billion the prior month.
- Total IRD DV01 transacted was $26.1 billion compared to $25.6 billion the prior month.
- RFR-linked IRD traded notional was $11.2 trillion in November versus $13.1 trillion the prior month.
- Total IRD traded notional transacted was $108.0 trillion compared to $98.9 trillion the prior month.
- The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in November compared to 9.7% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 33.6% of total GBP IRD DV01.
- EUR had the highest percentage 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 2020
Latest
Response on Competitiveness of EU Banking Sector
On April 17, ISDA responded to the European Commission’s (EC) targeted consultation on the competitiveness of the EU banking sector. The EU is aiming to bolster the ability of its financial markets and banking sector to grow, remain competitive and...
India Forum Scott O'Malia Opening Remarks
India Derivatives Markets Forum April 16, 2026 Opening Remarks Scott O’Malia, ISDA Chief Executive Good morning and welcome. This is the third year we’ve run the India Derivatives Markets Forum, and the number of people attending has grown each...
Global Trading in INR Derivatives
Global trading in derivatives involving the Indian rupee (INR) has expanded significantly over the past decade, reflecting the currency’s growing role in international hedging and trading activity. According to the Bank for International Settlements (BIS) Triennial Central Bank Survey, the...
Response to FCA on Commodity Derivatives Clearing
On April 9, ISDA, the Commodity Markets Council Europe (CMCE), Energy Traders Europe (ETE) and FIA jointly responded to Chapter 7 of the UK Financial Conduct Authority’s (FCA) Quarterly Consultation CP26/8 on increasing the clearing threshold for commodity derivatives under the UK...