December 10, 2020
The ISDA-Clarus RFR Adoption Indicator declined to 8.3% in November compared to 11.6% 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 accounted for 10.4% of total IRD in November, down from 13.3% the prior month.
Key highlights for November 2020 include:
- RFR-linked IRD DV01 declined to $2.2 billion in November, compared to $3.0 billion the prior month.
- Total IRD DV01 transacted was $26.1 billion compared to $25.6 billion the prior month.
- RFR-linked IRD traded notional was $11.2 trillion in November versus $13.1 trillion the prior month.
- Total IRD traded notional transacted was $108.0 trillion compared to $98.9 trillion the prior month.
- The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in November compared to 9.7% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 33.6% of total GBP IRD DV01.
- EUR had the highest percentage 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.
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