Blog Post

ISDA and Clarus Publish the Final Risk-Free Rate Adoption Indicator

The BR Derivatives Report

January 29, 2024, marks the end of an era for the interest rate derivatives (“IRD”) markets, since on this date the International Swaps and Derivatives Association (“ISDA”) and Clarus Financial Technology (“CFT”) published the final version of the ISDA-Clarus RFR Adoption Indicator.

As explained in the ISDA Research Note accompanying today’s publication, the indicator was developed by ISDA and CFT to track how much global trading activity is conducted in cleared over-the-counter and exchange-traded IRD that reference risk-free rates (“RFR”) in eight major currencies: USD, EUR, JPY, GBP, AUD, CHF, CAD, and SGD.

From its first publication in July 2020, the RFR Adoption Indicator allowed market participants to monitor the transition from overnight to risk-free rates (for example, USD LIBOR to SOFR).

To read the full post, please visit our BR Derivatives Report blog.