November 9, 2021
ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 24.5% in October compared to 20.3% 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 comprised 17.0% of total IRD in October compared to 15.9% the prior month.
Key highlights for October 2021 include:
- RFR-linked IRD DV01 totaled $8.9 billion compared to $6.0 billion the prior month.
- Total IRD DV01 transacted increased to $36.3 billion compared to $29.5 billion the prior month.
- RFR-linked IRD traded notional increased to $31.9 trillion versus $21.0 trillion the prior month.
- Total IRD traded notional transacted increased to $187.8 trillion compared to $131.9 trillion the prior month.
- The percentage of trading activity in SOFR reached 15.8% of total USD IRD DV01 transacted in October compared to 15.2% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 75.3% of total GBP IRD DV01.
- 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.
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