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, clickhere.
A whitepaper on the methodology is available here.