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
An Important Step Towards Efficient Reporting
Of all the problems that have hindered effective trade reporting in the derivatives market, one of the most difficult to resolve has been duplication. In the EU, both parties to a trade are mandated to submit the same information, while...
The ISDA Notices Hub: One Year On
In times of war, armed forces are often required to mobilize over large distances at short notice. The most dreaded response to the question of how they are to be transported is ‘by LPC’, meaning ‘leather personnel carrier’ – the...
ISDA Response to OSC Call for Feedback
On June 26, ISDA responded to the Ontario Securities Commission’s (OSC) consultation on facilitating access to its regulatory framework and reducing the burden for capital markets participants by publishing a machine-readable dataset of regulatory instruments. ISDA's comments are supportive of...
ISDA Comments on EP's MISP Draft Reports
On July 15, ISDA shared comments with policymakers in the European Union on the European Parliament’s (EP) draft reports by Member of the European Parliament (MEP) Markus Ferber and MEP Eero Heinäluoma on the Market Integration and Supervision Package (MISP)....