ISDA-Clarus RFR Adoption Indicator increased to 10.7% in May compared to 10.1% 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 increased to 11.8% of total IRD in May compared to 10.8% the prior month.
Key highlights for May 2021 include:
- RFR-linked IRD DV01 increased to $2.6 billion compared to $2.4 billion the prior month.
- Total IRD DV01 transacted increased to $24.2 billion compared to $23.7 billion the prior month.
- RFR-linked IRD traded notional increased to $13.7 trillion versus $11.8 trillion the prior month.
- Total IRD traded notional transacted increased to $116.0 trillion compared to $108.5 trillion the prior month.
- The percentage of trading activity in SOFR was 6.9% of total USD IRD DV01 transacted in May, down from 7.5% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 54.9% 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: May 2021
Latest
Episode 59: Reducing Burdens
As she nears the end of her term as chair of the European Securities and Markets Authority, Verena Ross joins The Swap to discuss progress in simplifying and reducing the burden of EU financial regulation, including transaction reporting. Please view...
CDS Market Dynamics: Record 2025
Global credit default swap (CDS) market activity reached a record $41.8 trillion in 2025, surpassing the previous peak of $38.7 trillion in 2022. Index CDS drove the increase, accounting for 93.3% of total activity and reaching a record $39.0 trillion....
ISDA Letter to CFTC on Public Interest Determinations for Event Contracts
On July 27, ISDA submitted a letter to the U.S. Commodity Futures Trading Commission (CFTC) on the CFTC’s proposed rulemaking on public interest determinations for event contracts published in the Federal Register on June 12, 2026. ISDA emphasized the importance...
ISDA Letter to BCBS on RMA Models
On July 24, ISDA wrote to the Basel Committee on Banking Supervision (BCBS) to request guidance on how the proposed Risk Mitigation Accounting (RMA) model under International Financial Reporting Standard (IFRS) 9/IFRS 7 should be treated for prudential regulatory capital...