ISDA-Clarus RFR Adoption Indicator: May 2021

ISDA-Clarus RFR Adoption Indicator increased to 10.7% in May compared to 10.1% 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 11.8% of total IRD in May compared to 10.8% the prior month.

Key highlights for May 2021 include:

  • RFR-linked IRD DV01 increased to $2.6 billion compared to $2.4 billion the prior month.
  • Total IRD DV01 transacted increased to $24.2 billion compared to $23.7 billion the prior month.
  • RFR-linked IRD traded notional increased to $13.7 trillion versus $11.8 trillion the prior month.
  • Total IRD traded notional transacted increased to $116.0 trillion compared to $108.5 trillion the prior month.
  • The percentage of trading activity in SOFR was 6.9% of total USD IRD DV01 transacted in May, down from 7.5% the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 54.9% 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: May 2021

ISDA Response on Clearing Costs

On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...

ISDA Response on Margin Transparency

On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...

Paper on Liquidity Assessment for Single-name CDS

On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...