The ISDA-Clarus RFR Adoption Indicator tracks 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.
Please note this is the first report to include ASX volume data in OTC derivatives. The average maturity of SOFR and €STR products is also now calculated on a DV01-weighted basis. Historical data has been updated to incorporate these changes.
Key highlights for October 2020 include:
- The RFR Adoption Indicator jumped to 11.6% in October compared to 10.5% the prior month.
- RFR-linked IRD DV01 increased to $3.0 billion, compared to $2.8 billion the prior month.
- Total IRD DV01 transacted in October was $25.6 billion compared to $27.2 billion the prior month.
- RFR-linked IRD traded notional accounted for 13.3% of total IRD traded notional in October compared to 12.6% the prior month.
- RFR-linked IRD traded notional was $13.1 trillion versus $14.5 trillion the prior month.
- Total IRD traded notional transacted in October was $98.9 trillion compared to $115.6 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 81.2% of RFR-linked IRD DV01 transacted in October.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 40.4% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 9.7% of total USD IRD DV01 transacted in October.
- 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: October 2020
Latest
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...
