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.

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