ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 26.3% in November compared to 24.5% 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 17.7% of total IRD in November compared to 17.0% the prior month.

Key highlights for November 2021 include:

• RFR-linked IRD DV01 totaled $9.0 billion compared to $8.9 billion the prior month.
• Total IRD DV01 transacted decreased to $34.4 billion compared to $36.3 billion the prior month.

• RFR-linked IRD traded notional decreased to $29.7 trillion versus $31.9 trillion the prior month.
• Total IRD traded notional transacted decreased to $168.0 trillion compared to $187.8 trillion the prior month.

• The percentage of trading activity in SOFR reached 19.2% of total USD IRD DV01 transacted in November compared to 15.8% the prior month.
• GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 76.4% 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.