ISDA-Clarus RFR Adoption Indicator: December 2021

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 31.7% in December compared to 26.3% 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 20.8% of total IRD in December compared to 17.7% the prior month.

Key highlights for December 2021 include:

  • RFR-linked IRD DV01 decreased to $8.5 billion from $9.0 billion the prior month.
  • Total IRD DV01 transacted decreased to $26.7 billion from $34.4 billion the prior month.
  • RFR-linked IRD traded notional decreased to $25.2 trillion from $29.7 trillion the prior month.
  • Total IRD traded notional transacted decreased to $121.1 trillion from $168.0 trillion the prior month.
  • The percentage of trading activity in SOFR reached 25.3% of total USD IRD DV01 transacted in December compared to 19.2% the prior month.
  • JPY saw the largest percentage of RFR-linked IRD trading activity, totaling 88.5% of total JPY 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: December 2021

IRD Trading in the US, EU and UK

This research note analyzes changes in interest rate derivatives (IRD) trading activity in the US, EU and UK from 2021 to 2024. It examines how central bank interest rate policies influenced IRD trading volumes and how the composition of IRD...

Response to ESMA on Clearing Threshold Regime

On June 16, ISDA responded to the European Securities and Markets Authority's (ESMA) consultation on the new clearing threshold (CT) regime. The new CT regime, based on uncleared positions, was introduced in the context of the European Market Infrastructure Regulation...