ISDA-Clarus RFR Adoption Indicator decreased to 8.8% in March compared to 10.6% 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 9.3% of total IRD in March compared to 11.0% the prior month.

Key highlights for March 2021 include:

• RFR-linked IRD DV01 decreased to $3.2 billion compared to $3.8 billion the prior month.
• Total IRD DV01 transacted increased to $36.3 billion compared to $35.6 billion the prior month.

• RFR-linked IRD traded notional declined to $15.3 trillion versus $17.6 trillion the prior month.
• Total IRD traded notional transacted increased to $164.4 trillion compared to $160.8 trillion the prior month.

• The percentage of trading activity in SOFR was 4.7% of total USD IRD DV01 transacted in March, down from 5.1% the prior month.
• GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 44.9% 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.