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
Latest
Response to FASB on KPIs for Business Entities
On April 30, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) proposal on financial key performance indicators (KPIs) for business entities. In the response, ISDA addressed the implications of KPI standardization, its potential impact on financial reporting...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...