ISDA-Clarus RFR Adoption Indicator: January 2022

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 31.9% in January compared to 31.7% 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 22.6% of total IRD in January compared to 20.8% the prior month.

Key highlights for January 2022 include:

  • RFR-linked IRD DV01 increased to $11.4 billion from $8.5 billion the prior month.
  • Total IRD DV01 transacted increased to $35.5 billion from $26.7 billion the prior month.
  • RFR-linked IRD traded notional jumped to $42.8 trillion from $25.2 trillion the prior month.
  • Total IRD traded notional transacted increased to $188.8 trillion compared to $121.1 trillion the prior month.
  • The percentage of trading activity in SOFR reached 28.4% of total USD IRD DV01 transacted in January compared to 25.3% the prior month.
  • CHF and GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.8% of total CHF IRD DV01 and GBP IRD DV01, respectively.
  • 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.

Documents (1) for ISDA-Clarus RFR Adoption Indicator: January 2022

Paper on Enhancing Liquidity and Risk Management

As ISDA marks its 40th anniversary this year, it is an opportune time to reflect on the challenges and opportunities faced by the global derivatives markets over the past four decades. Rapid growth, continued innovation, regulatory reform, central clearing, margining,...

Trade Bodies Seek Delay on Third-Country CCP Rules

On October 21, ISDA and nine other trade associations – the Alternative Investment Management Association, the European Association of Co-operative Banks, the European Association of Corporate Treasurers, the European Banking Federation, the European Fund and Asset Management Association, the European...

ISDA and Tokenovate Launch CDM Taskforce

ISDA and Tokenovate have today announced the establishment of a new taskforce within the Fintech Open Source Foundation (FINOS) to accelerate operationalization of the Common Domain Model (CDM). The initiative responds to growing market demand for standardized, interoperable post-trade processing...