ISDA-Clarus RFR Adoption Indicator: December 2020

The ISDA-Clarus RFR Adoption Indicator increased to 10.0% in December compared to 8.3% 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 increased to 13.3% of total IRD in December compared to 10.4% the prior month.

Key highlights for December 2020 include:

  • RFR-linked IRD DV01 increased to $2.4 billion in December compared to $2.2 billion the prior month.
  • Total IRD DV01 transacted was $24.2 billion compared to $26.1 billion the prior month.
  • RFR-linked IRD traded notional increased to $13.5 trillion in December versus $11.2 trillion the prior month.
  • Total IRD traded notional transacted was $101.5 trillion compared to $108.0 trillion the prior month.
  • The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in December, flat compared to the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 40.5% of total GBP IRD DV01.
  • 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: December 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...