ISDA-Clarus RFR Adoption Indicator was 10.0% in January, flat compared to 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 decreased to 11.8% of total IRD in December compared to 13.3% the prior month.
Key highlights for January 2021 include:
- RFR-linked IRD DV01 increased to $2.9 billion in January compared to $2.4 billion the prior month.
- Total IRD DV01 transacted was $29.1 billion compared to $24.2 billion the prior month.
- RFR-linked IRD traded notional increased to $15.3 trillion in January versus $13.5 trillion the prior month.
- Total IRD traded notional transacted was $129.7 trillion compared to $101.5 trillion the prior month.
- The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in January, flat compared to the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 45.9% 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: January 2021
Latest
ISDA AGM Studio: Jenny Cosco and Jason Granet
Jenny Cosco, global head of government relations and regulatory strategy at LSEG, and Jason Granet, chief investment officer at BNY, speak with Tara Kruse, ISDA’s global head of derivative products and infrastructure, about how firms can manage liquidity pressures during...
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.
Capital Models Benchmarking: A Framework for Counterparty Credit Risk Internal Models
When firms implement capital models in line with supervisory standards, a range of interpretative and implementation choices inevitably arise. These choices reflect differences in modeling approaches, data availability, system architecture and risk management practices, and can lead to variation in...
ISDA AGM Studio: Joana Schlenczek & Nate Wuerffel
Joana Schlenczek, ISDA board member and head of FI rates structuring and client solutions at Santander Corporate & Investment Banking, and Nate Wuerffel, global head of market structure and head of product, global collateral, at BNY, speak with Panayiotis Dionysopoulos,...
