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
Joint Letter on Simplification of EU Taxonomy
On October 6, ISDA, the Association for Financial Markets in Europe (AFME), the European Fund and Asset Management Association (EFAMA), the European Association of Co-operative Banks (EACB) and the European Banking Federation (EBF) published a policy statement in support of...
Paper on Removal of SI Regime
On October 10, ISDA, the Association for Financial Markets in Europe (AFME) and the International Capital Market Association (ICMA) published a paper on the practical implications of the recent discontinuation of the systematic internalizer (SI) regime for derivatives, bonds and...
ISDA Analysis to ESMA on Reporting Costs
ISDA has submitted to the European Securities and Markets Authority (ESMA) an analysis of the costs of regulatory reporting, which proposes where savings can be made most effectively. This document supplements the recent response submitted by ISDA, the Association for...
Episode 52: Innovative Thinking
The pace of change in derivatives markets shows no sign of letting up, with rapid evolution across trading, regulation and technology. Industry veteran Don Wilson, founder of trading firm DRW, talks to The Swap about some of the biggest trends....