The ISDA-Clarus RFR Adoption Indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies.
- The RFR Adoption Indicator jumped to 9.5% in September compared to 6.4% the prior month.
- RFR-linked IRD DV01 increased to $2.6 billion, compared to $1.4 billion the prior month.
- Total IRD DV01 transacted in September was $27.1 billion compared to $21.8 billion the prior month.
- RFR-linked IRD traded notional accounted for 12.4% of total IRD traded notional in September compared to 8.9% the prior month.
- RFR-linked IRD traded notional was $14.2 trillion versus $8.3 trillion the prior month.
- Total IRD traded notional transacted in September was $115.0 trillion compared to $93.3 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 79.4% of RFR-linked IRD DV01 transacted in September.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 39.2% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 4.1% of total USD IRD DV01 transacted in September.
- EUR 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: September 2020
Latest
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ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...
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