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
ISDA Launches Pre-adherence Period for Notices Hub
ISDA has begun a pre-adherence process for the ISDA Notices Hub, enabling firms to sign up to a free protocol that will allow them to use the new platform when it launches on July 15. Under the ISDA Master Agreement,...
ISDA SIMM EU Regulatory Approval Requirements
ISDA published ISDA SIMM version 2.7+2412 on May 22 – the first recalibration under the new semiannual cycle. The release triggered a new requirement for EU counterparties to apply for regulatory authorization to use the model – a submission that...
Creating Value - IQ June 2025
Ever since its establishment 40 years ago, ISDA has worked to enhance the safety and efficiency of derivatives markets. That has motivated everything we do – from the development of standard documentation and the rollout of new digital solutions to...
Paper on EC’s Sustainability Omnibus Proposal
On June 9, ISDA published a position paper setting out its views on the European Commission’s (EC) Sustainability Omnibus Package. In the paper, ISDA urges European authorities to: Ensure a proportionate, harmonized and symmetrical approach to the use of derivatives...