ISDA-Clarus RFR Adoption Indicator: August 2020

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 August 2020 include:

  • The RFR Adoption Indicator moved to 6.4% in August compared to 6.8% the prior month.
  • RFR-linked IRD DV01 totaled $1.4 billion, flat compared to $1.4 billion the prior month.
  • Total IRD DV01 transacted¬†in August was $21.8 billion compared to $20.8 billion the prior month.
  • RFR-linked IRD traded notional accounted for 8.9% of total IRD traded notional in August compared to 9.6% the prior month.
  • RFR-linked IRD traded notional was $8.3 trillion versus $8.6 trillion the prior month.
  • Total IRD traded notional transacted in August was $93.3 trillion compared to $89.7 trillion the prior month.
  • Trading activity in RFR-linked OTC IRD accounted for 68.1% of RFR-linked IRD DV01 transacted in August.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 30.4% of total GBP IRD DV01.
  • The percentage of trading activity in SOFR was 3.6% of total USD IRD DV01 transacted in August.
  • 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: August 2020