January 14, 2021

The ISDA-Clarus RFR Adoption Indicator increased to 10.0% in December compared to 8.3% 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 increased to 13.3% of total IRD in December compared to 10.4% the prior month.

Key highlights for December 2020 include:

  • RFR-linked IRD DV01 increased to $2.4 billion in December compared to $2.2 billion the prior month.
  • Total IRD DV01 transacted was $24.2 billion compared to $26.1 billion the prior month.
  • RFR-linked IRD traded notional increased to $13.5 trillion in December versus $11.2 trillion the prior month.
  • Total IRD traded notional transacted was $101.5 trillion compared to $108.0 trillion the prior month.
  • The percentage of trading activity in SOFR was 5.6% of total USD IRD DV01 transacted in December, flat compared to the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 40.5% 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, clickhere.

A whitepaper on the methodology is available here.

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Disclaimer

ISDA – International Swaps and Derivatives Association Inc. published this content on 14 January 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 14 January 2021 14:15:03 UTC