RFR Use Jumps in November
Posted by Colin Lambert. Last updated: December 15, 2021
The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 26.3% in November compared to 24.5% the prior month, as the world’s authorities continued to push the benchmark transition to risk free rates from Libor.
The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared OTC and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD comprised 17.7% of total IRD in November compared to 17.0% the prior month.
The data indicates that RFR-linked IRD DV01 totalled $9.0 billion compared to $8.9 billion the prior month, while total IRD DV01 transacted decreased to $34.4 billion compared to $36.3 billion the prior month. RFR-linked IRD traded notional decreased to $29.7 trillion versus $31.9 trillion in October, and total IRD traded notional transacted decreased to $168.0 trillion compared to $187.8 trillion the prior month.
The percentage of trading activity in SOFR reached 19.2% of total USD IRD DV01 transacted in November compared to 15.8% in October, while GBP saw the largest percentage of RFR-linked IRD trading activity, totalling 76.4% of total GBP IRD DV01. JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.