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 August 2020 include:
- The RFR Adoption Indicator moved to 6.4% in August compared to 6.8% the prior month.
- RFR-linked IRD DV01 totaled $1.4 billion, flat compared to $1.4 billion the prior month.
- Total IRD DV01 transacted in August was $21.8 billion compared to $20.8 billion the prior month.
- RFR-linked IRD traded notional accounted for 8.9% of total IRD traded notional in August compared to 9.6% the prior month.
- RFR-linked IRD traded notional was $8.3 trillion versus $8.6 trillion the prior month.
- Total IRD traded notional transacted in August was $93.3 trillion compared to $89.7 trillion the prior month.
- Trading activity in RFR-linked OTC IRD accounted for 68.1% of RFR-linked IRD DV01 transacted in August.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 30.4% of total GBP IRD DV01.
- The percentage of trading activity in SOFR was 3.6% of total USD IRD DV01 transacted in August.
- 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: August 2020
Latest
The CPI Quandary
The recent US government shutdown didn’t just create weeks of political drama – it also left inflation-linked swaps dealers with a major headache: how should they determine an initial value for new trades given the US Bureau of Labor Statistics...
ISDA Response to HMT, BoE on UK CCPs
On November 18, ISDA submitted its responses to the Bank of England (BoE) consultation on ensuring the resilience of central counterparties (CCPs) and the UK Treasury’s (HMT) two draft CCP statutory instruments (SIs). These consultations form part of the update...
Doubling Down on Appropriate Trading Book Capital
Throughout ISDA’s 40th anniversary year, we’ve been reflecting on the quest for greater consistency and efficiency that underpins everything we’ve achieved since 1985. It was at the heart of the original efforts to bring greater standardization to the nascent derivatives...
Determining Initial Reference Index for New Trades
On November 25, 2025, ISDA published a Market Practice Note (MPN) to recommend a specific methodology that market participants could elect to use for the purposes of determining the Initial Reference Index for certain new inflation derivative transactions given that...