ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 24.5% in October compared to 20.3% 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 17.0% of total IRD in October compared to 15.9% the prior month.
Key highlights for October 2021 include:
- RFR-linked IRD DV01 totaled $8.9 billion compared to $6.0 billion the prior month.
- Total IRD DV01 transacted increased to $36.3 billion compared to $29.5 billion the prior month.
- RFR-linked IRD traded notional increased to $31.9 trillion versus $21.0 trillion the prior month.
- Total IRD traded notional transacted increased to $187.8 trillion compared to $131.9 trillion the prior month.
- The percentage of trading activity in SOFR reached 15.8% of total USD IRD DV01 transacted in October compared to 15.2% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 75.3% 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: October 2021
Latest
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...
Response to SEC on FICC Guaranty Fund
On September 1, ISDA and FIA submitted a joint response to the US Securities and Exchange Commission (SEC), supporting the Fixed Income Clearing Corporation’s (FICC) proposal to establish a dedicated guaranty fund at its government securities division (GSD). FICC had...