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
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ISDA AGM Studio: Sarah Breeden, Bank of England
Sarah Breeden, deputy governor for financial stability at the Bank of England, speaks to ISDA CEO Scott O’Malia about some of the headwinds facing financial markets in 2025, and how policymakers can address perceived vulnerabilities in non-bank financial intermediation.
ISDA AGM Studio: Tom Jasper and Eric Litvack
ISDA's 40th anniversary was a key theme of this year's Annual General Meeting. To mark this milestone, Nick Sawyer, ISDA's global head of communications, talked to Tom Jasper, managing partner at Manursing Partners, who established and led the interest rate...
ISDA AGM Studio: Roy Choudhury and Ido de Geus
Roy Choudhury, managing director and senior partner at Boston Consulting Group, and Ido de Geus, head of fixed income at PGGM Investments, talk to Nick Sawyer, ISDA’s global head of communications, about the uses and value of over-the-counter derivatives.