The latest monthly data from the ISDA-Clarus RFR Adoption Indicator suggests that while more contracts in the interest rate derivative space are linked to risk-free rates (RFRs), the portion is still largely in the minority.
The indicator is intended to track 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. DV01 is a maturity agnostic measure of risk that calculates in dollar value rather than percentage.
The July reading was 6.8%, compared to 4.7% in June, while the RFR-linked IRD notional traded was 9.6% of the total, up from 6.7% in June. Sterling saw the largest percentage of RFR-linked IRD trading at 31.8% (as a percentage of total GBP IRD DV01 volume), while just 3.8% of USD IRD was transacted off the SOFR reference rate nominated by the Federal Reserve.