The ISDA-Clarus RFR Adoption Indicator is intended to track how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies.
Key highlights for July 2020 include:
- The RFR Adoption Indicator moved to 6.8% in July compared to 4.7% the prior month.
- RFR-linked IRD DV01 totaled $1.4 billion versus $1.3 billion the prior month.
- Total IRD DV01 transacted in July was $20.8 billion compared to $27.9 billion the prior month.
- RFR-linked IRD traded notional accounted for 9.6% of total IRD traded notional in July compared to 6.7% the prior month.
- RFR-linked IRD traded notional transacted in July was $8.6 trillion versus $8.0 trillion the prior month.
- Total IRD traded notional transacted in July was $89.7 trillion compared to $119.3 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 66.9% of RFR-linked IRD DV01 transacted in July.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 31.8% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 3.8% of total USD IRD DV01 transacted in July.
- 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: July 2020
Latest
Joint Response on RBA Consultation
On August 11, ISDA and FIA submitted a joint response to the Reserve Bank of Australia (RBA) on its consultation on guidance for Australia’s clearing and settlement facility resolution regime. The associations welcome publication of the draft guidance, which provides...
SwapsInfo H1 2025 and Q2 2025
Interest rate derivatives (IRD) trading activity increased in the first half of 2025, driven by continued interest rate volatility, evolving central bank policy expectations and persistent macroeconomic uncertainty. Trading in index credit derivatives also rose, as market participants responded to...
ISDA Response to IFSCA Consultation
On August 5, ISDA responded to the International Financial Services Centres Authority’s (IFSCA) consultation on reporting and clearing of over-the-counter (OTC) derivatives contracts booked in International Financial Services Centres (IFSC). In the response, ISDA provided the following recommendations: Not mandating...
ISDA Response to BIS on Tokenization
On July 30, ISDA submitted a response to a Bank for International Settlements (BIS) consultation on leveraging tokenization for payments and financial transactions. In the response, ISDA focused on the legal, regulatory and documentation issues relevant to the derivatives market,...