ISDA-Clarus RFR Adoption Indicator: November 2020

The ISDA-Clarus RFR Adoption Indicator declined to 8.3% in November compared to 11.6% the prior month. The 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. On a traded notional basis, the percentage of RFR-linked IRD accounted for 10.4% of total IRD in November, down from 13.3% the prior month.

Key highlights for November 2020 include:

  • RFR-linked IRD DV01 declined to $2.2 billion in November, compared to $3.0 billion the prior month.
  • Total IRD DV01 transacted was $26.1 billion compared to $25.6 billion the prior month.
  • RFR-linked IRD traded notional was $11.2 trillion in November versus $13.1 trillion the prior month.
  • Total IRD traded notional transacted was $108.0 trillion compared to $98.9 trillion the prior month.
  • The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in November compared to 9.7% the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 33.6% of total GBP IRD DV01.
  • EUR had the highest percentage 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: November 2020

ISDA AGM Studio: Doug Donahue and Oliver Maxwell

Just a small delay in the delivery and receipt of a termination notice can have significant economic consequences for derivatives counterparties. Doug Donahue, partner at Linklaters, and Oliver Maxwell, product management director, platforms and regulatory compliance at S&P Global Market...

ISDA AGM Studio: Jacques Vigner, BNP Paribas

Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...