The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 36.3% in February compared to 31.9% 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 27.0% of total IRD in February compared to 22.6% the prior month.
Key highlights for February 2022 include:
- RFR-linked IRD DV01 increased to $14.6 billion from $11.4 billion the prior month.
- Total IRD DV01 transacted increased to $40.3 billion from $35.5 billion the prior month.
- RFR-linked IRD traded notional jumped to $61.9 trillion from $42.8 trillion the prior month.
- Total IRD traded notional transacted increased to $229.3 trillion compared to $188.8 trillion the prior month.
- The percentage of trading activity in SOFR reached 33.4% of total USD IRD DV01 transacted in February compared to 28.4% the prior month.
- CHF saw the largest percentage of RFR-linked IRD trading activity, totaling 99.7% of total CHF IRD DV01.
- 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: February 2022
Latest
2026 ISDA Canada Conference Opening Remarks
2026 ISDA Canada Conference Toronto, September 24, 2026 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to the 2026 ISDA Canada Conference. Thank you for joining us today and thanks to our sponsor, Osler, Hoskin...
Transition to Mandatory Central Clearing
US Treasury securities sit at the heart of global financial markets and serve as one of the primary forms of high-quality collateral across derivatives and securities financing markets. The transition to mandatory central clearing of US Treasuries therefore has implications...
ISDA Publishes Updated ISDA SIMM Governance
ISDA has published an updated version of the ISDA SIMM® Governance Framework, which sets out the principles under which the ISDA Standard Initial Margin Model® operates and the process through which it will be reviewed and amended on a consistent...
ISDA Response to PRA IMA Consultation
On September 18, ISDA, the Association for Financial Markets in Europe, the Institute of International Finance and UK Finance submitted a joint response to the UK Prudential Regulation Authority consultation on adjustments to the internal model approach (IMA) for the...