ISDA-Clarus RFR Adoption Indicator: October 2020

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.

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