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
Latest
Refreshing the FX Definitions
A lot has changed in the FX derivatives market since 1998, when the last set of standard definitions for FX transactions were published. Trading volumes have grown substantially, and average daily turnover has risen by six times. Market practices have...
ISDA & EMTA Publish New FX Definitions
ISDA and EMTA, Inc., the trade association for emerging markets, have jointly published a revised set of standard definitions for foreign exchange (FX) derivatives transactions, which update key market practices and consolidate various FX and FX-related product templates and provisions...
ISDA Position Paper on SFDR Review
On February 27, ISDA and the Association for Financial Markets in Europe (AFME) published a position paper on the European Commission’s (EC) proposed revisions to the Sustainable Finance Disclosure Regulation (SFDR 2.0). The paper welcomes the EC’s proposal as a...
ISDA Response to HKMA SFC Consultation on Clearing Rules
On February 27, ISDA responded to a joint consultation by the Hong Kong Monetary Authority (HKMA) and the Securities Futures Commission (SFC) on proposed amendments to schedule 2 of the clearing rules for over-the-counter (OTC) derivatives. The proposed amendments introduce...