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
Joint Response to 2026 US G-SIB Surcharge Proposal
On June 18, ISDA, the Securities Industry and Financial Markets Association and the Institute of International Finance submitted a joint response to US agencies on proposed changes to the surcharge for global systemically important banks (G-SIBs). The associations welcome the...
Eyeing the Basel III Finish Line
An effective regulatory capital framework relies on multiple ingredients, from appropriate drafting to rigorous testing and consultation. Even minor calibration distortions can inflate capital requirements, which could negatively affect the capacity of banks to support deep and liquid markets, with...
Joint Comment Letter on Basel III Endgame Proposal
The Institute of International Finance (IIF), the International Swaps and Derivatives Association, Inc. (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) today submitted a joint comment letter to the Board of Governors of the Federal Reserve System, the...
Joint Response to 2026 US Basel III Proposal
On June 18, ISDA, the Institute of International Finance and the Securities Industry and Financial Markets Association submitted a joint response to the 2026 US Basel III notice of proposed rulemaking (NPR). The response focuses on the Fundamental Review of...
