The ISDA-Clarus RFR Adoption Indicator tracks 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. Â
Please note this is the first report to include ASX volume data in OTC derivatives. The average maturity of SOFR and €STR products is also now calculated on a DV01-weighted basis. Historical data has been updated to incorporate these changes.
Key highlights for October 2020 include:
- The RFR Adoption Indicator jumped to 11.6% in October compared to 10.5% the prior month.
- RFR-linked IRD DV01 increased to $3.0 billion, compared to $2.8 billion the prior month.
- Total IRD DV01 transacted in October was $25.6 billion compared to $27.2 billion the prior month. Â
- RFR-linked IRD traded notional accounted for 13.3% of total IRD traded notional in October compared to 12.6% the prior month.Â
- RFR-linked IRD traded notional was $13.1 trillion versus $14.5 trillion the prior month.
- Total IRD traded notional transacted in October was $98.9 trillion compared to $115.6 trillion the prior month. Â
- Trading activity in RFR-linked OTC IRD accounted for 81.2% of RFR-linked IRD DV01 transacted in October.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 40.4% of total GBP IRD DV01.Â
- The percentage of trading activity in SOFR was 9.7% of total USD IRD DV01 transacted in October.Â
- 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.
Documents (1) for ISDA-Clarus RFR Adoption Indicator: October 2020
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