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.