ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 17.5% in August compared to 14.1% 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 comprised 13.3% of total IRD in August compared to 12.3% the prior month.
Key highlights for August 2021 include:
- RFR-linked IRD DV01 totaled $3.9 billion compared to $3.8 billion the prior month.
- Total IRD DV01 transacted declined to $22.5 billion compared to $26.6 billion the prior month.
- RFR-linked IRD traded notional decreased to $13.5 trillion versus $15.7 trillion the prior month.
- Total IRD traded notional transacted declined to $102.0 trillion compared to $126.9 trillion the prior month.
- The percentage of trading activity in SOFR reached 12.5% of total USD IRD DV01 transacted in August compared to 7.4% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 63.3% 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: August 2021
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