ISDA-Clarus RFR Adoption Indicator: July 2021

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 14.1% in July compared to 11.7% 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 comprised 12.3% of total IRD in July compared to 11.4% the prior month.

Key highlights for July 2021 include:

  • RFR-linked IRD DV01 totaled $3.8 billion, flat compared to the prior month.
  • Total IRD DV01 transacted declined to $26.6 billion compared to $32.2 billion the prior month.
  • RFR-linked IRD traded notional decreased to $15.7 trillion versus $17.7 trillion the prior month.
  • Total IRD traded notional transacted declined to $126.9 trillion compared to $155.0 trillion the prior month.
  • The percentage of trading activity in SOFR reached 7.4% of total USD IRD DV01 transacted in July compared to 6.0% the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 58.8% 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: July 2021

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...

Response to EC on Delegated Regulation

On September 4, ISDA responded to the European Commission’s (EC) consultation on amendments to delegated regulation (EU) 2017.567. The key area of interest for ISDA was the proposed insertion of a new article 16a that establishes what constitutes a post-trade...

Raising Clients’ Awareness on Portability

Clients accessing a central counterparty (CCP) via a client clearing service provider (CCSP) for over-the-counter (OTC) and exchange-traded derivatives should consider what may happen to their positions and collateral in a scenario in which the CCSP defaults. While regulatory regimes...

Response to FCA on Ancillary Activities Test

On August 28, ISDA and FIA submitted a joint response to the Financial Conduct Authority’s (FCA) consultation paper CP25/19 on the ancillary activities test to determine if commercial users or producers of commodities that trade in commodity derivatives, emission allowances...