ISDA-Clarus RFR Adoption Indicator increased to 10.1% in April compared to 8.7% 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 increased to 10.8% of total IRD in April compared to 9.2% the prior month.

Key highlights for April 2021 include:

• RFR-linked IRD DV01 decreased to $2.4 billion compared to $3.2 billion the prior month.
• Total IRD DV01 transacted decreased to $23.7 billion compared to $37.0 billion the prior month.

• RFR-linked IRD traded notional declined to $11.8 trillion versus $15.3 trillion the prior month.
• Total IRD traded notional transacted decreased to $108.5 trillion compared to $166.9 trillion the prior month.

• The percentage of trading activity in SOFR was 7.5% of total USD IRD DV01 transacted in April, up from 4.7% the prior month.
• GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 51.0% of total GBP IRD DV01.
• JPY 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.