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.

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