RFR Adoptions Accelerates: ISDA-Clarus
Posted by Colin Lambert. Last updated: October 14, 2021
The latest ISDA-Clarus RFR Adoption Indicator shows that market participants are again embracing risk free rates at an increased pace, rising to a new high of 20.3% in September, up from 17.5% in August.
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 RFRs in six major currencies.
On a traded notional basis, the percentage of RFR-linked IRD comprised 15.9% of total IRD in September compared to 13.3% the prior month. RFR-linked IRD DV01 totalled $6.0 billion compared to $3.9 billion, while total IRD DV01 transacted increased to $29.5 billion compared to $22.5 billion the prior month.
RFR-linked IRD traded notional increased to $21.0 trillion versus $13.5 trillion in August, while the total transacted increased to $131.9 trillion compared to $102.0 trillion. The percentage of trading activity in SOFR reached 15.2% of total USD IRD DV01 transacted in September compared to 12.5%; GBP saw the largest percentage of RFR-linked IRD trading activity, totalling 64.8% of total GBP IRD DV01, while JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.