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
An Important Step Towards Efficient Reporting
Of all the problems that have hindered effective trade reporting in the derivatives market, one of the most difficult to resolve has been duplication. In the EU, both parties to a trade are mandated to submit the same information, while...
The ISDA Notices Hub: One Year On
In times of war, armed forces are often required to mobilize over large distances at short notice. The most dreaded response to the question of how they are to be transported is ‘by LPC’, meaning ‘leather personnel carrier’ – the...
ISDA Response to OSC Call for Feedback
On June 26, ISDA responded to the Ontario Securities Commission’s (OSC) consultation on facilitating access to its regulatory framework and reducing the burden for capital markets participants by publishing a machine-readable dataset of regulatory instruments. ISDA's comments are supportive of...
ISDA Comments on EP's MISP Draft Reports
On July 15, ISDA shared comments with policymakers in the European Union on the European Parliament’s (EP) draft reports by Member of the European Parliament (MEP) Markus Ferber and MEP Eero Heinäluoma on the Market Integration and Supervision Package (MISP)....