ISDA-Clarus RFR Adoption Indicator increased to 10.6% in February compared to 10.0% 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 11.0% of total IRD in February compared to 11.8% the prior month.
Key highlights for February 2021 include:
- RFR-linked IRD DV01 increased to $3.8 billion compared to $2.9 billion the prior month.
- Total IRD DV01 transacted was $35.5 billion compared to $29.1 billion the prior month.
- RFR-linked IRD traded notional increased to $17.6 trillion versus $15.3 trillion the prior month.
- Total IRD traded notional transacted was $160.8 trillion compared to $129.7 trillion the prior month.
- The percentage of trading activity in SOFR was 5.1% of total USD IRD DV01 transacted in February, down from 5.6% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 45.7% 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: February 2021
Latest
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On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
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Response to SEC on FICC Guaranty Fund
On September 1, ISDA and FIA submitted a joint response to the US Securities and Exchange Commission (SEC), supporting the Fixed Income Clearing Corporation’s (FICC) proposal to establish a dedicated guaranty fund at its government securities division (GSD). FICC had...