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
Latest
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...
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On August 6, ISDA responded to the European Commission’s (EC) consultation on due diligence guidelines under the Corporate Sustainability Due Diligence Directive (CSDDD). While ISDA acknowledges that model contractual clauses can be a helpful resource for in-scope companies, there are...
Response to BoE on Extension of Settlement Hours
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