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.