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, clickhere.
A whitepaper on the methodology is available here.