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, clickhere.
A whitepaper on the methodology is available here.