February 10, 2021
ISDA-Clarus RFR Adoption Indicator was 10.0% in January, flat compared to 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 11.8% of total IRD in December compared to 13.3% the prior month.
Key highlights for January 2021 include:
- RFR-linked IRD DV01 increased to $2.9 billion in January compared to $2.4 billion the prior month.
- Total IRD DV01 transacted was $29.1 billion compared to $24.2 billion the prior month.
- RFR-linked IRD traded notional increased to $15.3 trillion in January versus $13.5 trillion the prior month.
- Total IRD traded notional transacted was $129.7 trillion compared to $101.5 trillion the prior month.
- The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in January, flat compared to the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 45.9% 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.
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