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, clickhere.
A whitepaper on the methodology is available here.