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

Recognition of Cross-product Netting is Critical

US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...

ISDA, GFXD Response to FCA on SI Regime

On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...

ISDA Response on Clearing Costs

On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...