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

ISDA Presents Lock-Up Agreement Proposal

ISDA is pleased to present the proposed Lock-Up Agreements and CDS – Proposed Auction Solution. “Lock-Up Agreements” are market-wide arrangements, broadly standardized and predominantly integrated with court sanctioned restructuring or bankruptcy processes. Numerous end users will sign material Lock-Up Agreements...

Key Trends in OTC Derivatives Market H2 2024

The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows a modest increase in notional outstanding during the second half of 2024 compared to the same period in 2023. Notional outstanding for interest rate, foreign...