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.
Documents (1) for ISDA-Clarus RFR Adoption Indicator: November 2021
Latest
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...
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...