ISDA-Clarus RFR Adoption Indicator increased to 10.6% in February compared to 10.0% 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 decreased to 11.0% of total IRD in February compared to 11.8% the prior month.

Key highlights for February 2021 include:

• RFR-linked IRD DV01 increased to $3.8 billion compared to $2.9 billion the prior month.
• Total IRD DV01 transacted was $35.5 billion compared to $29.1 billion the prior month.

• RFR-linked IRD traded notional increased to $17.6 trillion versus $15.3 trillion the prior month.
• Total IRD traded notional transacted was $160.8 trillion compared to $129.7 trillion the prior month.

• The percentage of trading activity in SOFR was 5.1% of total USD IRD DV01 transacted in February, down from 5.6% the prior month.
• GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 45.7% of total GBP IRD DV01.
• EUR 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.