The ISDA-Clarus RFR Adoption Indicator is intended to track how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies.
Key highlights for July 2020 include:
- The RFR Adoption Indicator moved to 6.8% in July compared to 4.7% the prior month.
- RFR-linked IRD DV01 totaled $1.4 billion versus $1.3 billion the prior month.
- Total IRD DV01 transacted in July was $20.8 billion compared to $27.9 billion the prior month.
- RFR-linked IRD traded notional accounted for 9.6% of total IRD traded notional in July compared to 6.7% the prior month.
- RFR-linked IRD traded notional transacted in July was $8.6 trillion versus $8.0 trillion the prior month.
- Total IRD traded notional transacted in July was $89.7 trillion compared to $119.3 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 66.9% of RFR-linked IRD DV01 transacted in July.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 31.8% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 3.8% of total USD IRD DV01 transacted in July.
- 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: July 2020
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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
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