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.
Documents (1) for ISDA-Clarus RFR Adoption Indicator: April 2021
Latest
ISDA Letter to FASB on Agenda Consultation
On June 30, ISDA submitted a comment letter to the Financial Accounting Standards Board (FASB) in response to the proposal File Reference No. 2025-ITC100, Agenda Consultation. In the letter, ISDA believes the highest priority should be given to expanding the hedge...
Joint Paper on UK EMIR Reform
On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...
Response to FCA on UK EMIR Reporting
On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...
CDS Trading Activity in EU, UK and US Markets
This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...